A TRANSFORMATION METHOD FOR SOLVING THE HAMILTON–JACOBI–BELLMAN EQUATION FOR A CONSTRAINED DYNAMIC STOCHASTIC OPTIMAL ALLOCATION PROBLEM

DOI10.1017/S144618111300031XzbMath1292.35298arXiv1307.3672MaRDI QIDQ2874280

Soňa Kilianová, Daniel Ševčovič

Publication date: 29 January 2014

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.3672

Mathematics Subject Classification ID

Stochastic programming (90C15) Nonlinear parabolic equations (35K55) Dynamic programming (90C39) Financial applications of other theories (91G80) PDEs with randomness, stochastic partial differential equations (35R60) Portfolio theory (91G10) PDEs in connection with control and optimization (35Q93)

Related Items (7)

Analysis of the nonlinear option pricing model under variable transaction costs ⋮ Simple explicit formula for near-optimal stochastic lifestyling ⋮ Nonlinear Parabolic Equations Arising in Mathematical Finance ⋮ Application of maximal monotone operator method for solving Hamilton-Jacobi-Bellman equation arising from optimal portfolio selection problem ⋮ Robust portfolio optimization via solution to the Hamilton–Jacobi–Bellman equation ⋮ On splitting-based numerical methods for nonlinear models of European options ⋮ Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton-Jacobi-Bellman equation

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