Correction note to: solving a Hamilton–Jacobi–Bellman equation with constraints

DOI10.1080/17442508.2015.1089244zbMath1422.91355OpenAlexW2292288584MaRDI QIDQ2804557

Christian Hipp

Publication date: 4 May 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2015.1089244

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Cites Work

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• Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
• Continuous-time stochastic control and optimization with financial applications
• Optimal investment for investors with state dependent income, and for insurers
• Optimal constrained investment in the Cramer-Lundberg model
• Stochastic Optimization in Insurance

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