Regularity properties in a state-constrained expected utility maximization problem
DOI10.1007/S00186-018-0634-4zbMath1418.91212arXiv1510.03079OpenAlexW2962699333WikidataQ130126900 ScholiaQ130126900MaRDI QIDQ1616834
Publication date: 7 November 2018
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1510.03079
Hamilton-Jacobi-Bellman equationoptimal strategyviscosity solutioncomparison principlevalue functionprice impactBellman's principledynamic programming principleexpected utility maximization problem
Utility theory (91B16) Dynamic programming (90C39) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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