Optimal Switching with Constraints and Utility Maximization of an Indivisible Market

DOI10.1137/10080823XzbMath1335.49041OpenAlexW2059217755MaRDI QIDQ2903497

Chao Zhu, Qingshuo Song

Publication date: 10 August 2012

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/10080823x

zbMATH Keywords

diffusionsample pathsdynamic programmingviscosity solutionutility maximizationquasi-variational inequalityoptimal switchingindivisible market

Mathematics Subject Classification ID

Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Diffusion processes (60J60) Sample path properties (60G17) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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