A new method to solve the Hamilton-Jacobi-Bellman equation for a stochastic portfolio optimization model with boundary memory

DOI10.3934/JIMO.2021137OpenAlexW3190975144MaRDI QIDQ2171069

Lei Hu, Xuhui Wang

Publication date: 23 September 2022

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2021137

zbMATH Keywords

Hamilton-Jacobi-Bellman equationportfolio optimizationoptimal stochastic controlstochastic delay factors

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Actuarial mathematics (91G05)

Cites Work

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• A Stochastic Portfolio Optimization Model with Bounded Memory
• When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional?
• Mean field and n‐agent games for optimal investment under relative performance criteria

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