Effective approximation methods for constrained utility maximization with drift uncertainty
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Publication:2671440
DOI10.1007/S10957-022-02015-0zbMath1492.91137OpenAlexW4226412775MaRDI QIDQ2671440
Publication date: 3 June 2022
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-022-02015-0
stochastic maximum principledrift uncertaintyconstrained utility maximizationeffective approximation methodlower and upper bounds of value function
Numerical methods involving duality (49M29) Utility theory (91B16) Optimal stochastic control (93E20)
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