History path dependent optimal control and portfolio valuation and management

DOI10.1023/A:1020244921138zbMath1031.93092OpenAlexW45139390MaRDI QIDQ1863746

Georges Haddad, Jean-Pierre Aubin

Publication date: 12 March 2003

Published in: Positivity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1020244921138

zbMATH Keywords

Hamilton-Jacobi-Bellman equationsportfolio managementviabilityportfolio valuationfunctional differential inclusioncapturabilitychanging of functionsClio derivativeshistory dependent controlpath dependent control

Mathematics Subject Classification ID

Related Items (15)

Minimax and viscosity solutions of Hamilton-Jacobi-Bellman equations for time-delay systems ⋮ Path-Dependent Hamilton--Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method ⋮ Viscosity solutions of Hamilton-Jacobi equations for neutral-type systems ⋮ Minimax and viscosity solutions in optimization problems for hereditary systems ⋮ Dynamic Programming Principle and Hamilton--Jacobi--Bellman Equations for Fractional-Order Systems ⋮ On Hamilton–Jacobi–Isaacs–Bellman equation for neutral type systems ⋮ Path-dependent Hamilton-Jacobi equations: the minimax solutions revised ⋮ Inequalities for subgradients of a value functional in differential games for time-delay systems ⋮ The Hamilton-Jacobi equation for hereditary systems: minimax and viscosity solutions ⋮ Viscosity solutions of path-dependent integro-differential equations ⋮ Unnamed Item ⋮ On viscosity solution of functional Hamilton-Jacobi type equations for hereditary systems ⋮ Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation ⋮ Viscosity Solutions of Hamilton--Jacobi--Bellman--Isaacs Equations for Time-Delay Systems ⋮ Conditional viability for impulse differential games

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