New solutions to non-smooth PDEs

zbMATH Open1277.35120arXiv1211.5816MaRDI QIDQ2859020

Publication date: 6 November 2013

Published in: The Australian Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Abstract: We overcome an obstacle in mathematical optimization. In so doing, we explicitly derive the optimal values without assuming the smoothness of the value function. We apply our method to the portfolio model.

Full work available at URL: https://arxiv.org/abs/1211.5816

Mathematics Subject Classification ID

Viscosity solutions to PDEs (35D40) Strong solutions to PDEs (35D35)

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