On traveling wave solutions to a Hamilton-Jacobi-Bellman equation with inequality constraints

DOI10.1007/s13160-012-0087-8zbMath1263.35139arXiv1108.1035OpenAlexW2107022367MaRDI QIDQ1943085

Daniel Ševčovič, Naoyuki Ishimura

Publication date: 15 March 2013

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1108.1035

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic dynamic programmingRiccati transformationtraveling wave solution

Mathematics Subject Classification ID

Stochastic programming (90C15) Nonlinear parabolic equations (35K55) Stochastic models in economics (91B70) Utility theory (91B16) Hamilton-Jacobi equations in mechanics (70H20) Asymptotic expansions of solutions to ordinary differential equations (34E05)

Related Items (5)

Nonlinear Parabolic Equations Arising in Mathematical Finance ⋮ Application of maximal monotone operator method for solving Hamilton-Jacobi-Bellman equation arising from optimal portfolio selection problem ⋮ Robust portfolio optimization via solution to the Hamilton–Jacobi–Bellman equation ⋮ Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton-Jacobi-Bellman equation ⋮ A TRANSFORMATION METHOD FOR SOLVING THE HAMILTON–JACOBI–BELLMAN EQUATION FOR A CONSTRAINED DYNAMIC STOCHASTIC OPTIMAL ALLOCATION PROBLEM

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• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
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