An Approximation Scheme for Solution to the Optimal Investment Problem in Incomplete Markets

DOI10.1137/120869080zbMath1282.91307OpenAlexW1983565747MaRDI QIDQ2873139

Sergey Nadtochiy, Thaleia Zariphopoulou

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/d9777205bd7fc22f63a9bc9f91fb60cdada288ac

zbMATH Keywords

Hamilton-Jacobi-Bellman equationviscosity solutionsMerton's problemTrotter-Kato splitting

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

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A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility ⋮ Exact Solutions and Approximations for Optimal Investment Strategies and Indifference Prices ⋮ Asymptotic Approximation of Optimal Portfolio for Small Time Horizons ⋮ Robust optimal asset-liability management with mispricing and stochastic factor market dynamics ⋮ A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk ⋮ An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians ⋮ Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations ⋮ Analysis of Optimal Portfolio on Finite and Small-Time Horizons for a Stochastic Volatility Market Model

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