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Application of maximal monotone operator method for solving Hamilton-Jacobi-Bellman equation arising from optimal portfolio selection problem - MaRDI portal

Application of maximal monotone operator method for solving Hamilton-Jacobi-Bellman equation arising from optimal portfolio selection problem (Q2231594)

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Application of maximal monotone operator method for solving Hamilton-Jacobi-Bellman equation arising from optimal portfolio selection problem
scientific article

    Statements

    title
    Application of maximal monotone operator method for solving Hamilton-Jacobi-Bellman equation arising from optimal portfolio selection problem (English)
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    publication date
    30 September 2021
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    zbMATH Keywords
    Hamilton-Jacobi-Bellman equation
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    Riccati transformation
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    maximal monotone operator
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    dynamic stochastic portfolio optimization
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    cites work
    Q3585691
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    Q3342966
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    Identifiers

    Mathematics Subject Classification ID
    35K55
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    35F21
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    35K15
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    47H05
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    70H20
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    91B70
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    90C15
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    91B16
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    zbMATH DE Number
    7404691
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    OpenAlex ID
    W3162193272
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    arXiv ID
    2104.06115
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