Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton-Jacobi-Bellman equation

DOI10.1007/s13160-019-00349-3zbMath1419.35095arXiv1903.10065OpenAlexW2962912097WikidataQ128139104 ScholiaQ128139104MaRDI QIDQ2318503

Daniel Ševčovič, Soňa Kilianová

Publication date: 15 August 2019

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

Full work available at URL: https://arxiv.org/abs/1903.10065

zbMATH Keywords

Hamilton-Jacobi-Bellman equationfinite volume schemeRiccati transformationdynamic utilitydynamic stochastic portfolio optimization

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Nonlinear parabolic equations (35K55) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) PDEs with randomness, stochastic partial differential equations (35R60) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (2)

Application of maximal monotone operator method for solving Hamilton-Jacobi-Bellman equation arising from optimal portfolio selection problem ⋮ Optimal exercise of American puts with transaction costs under utility maximization

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