On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs

DOI10.1137/130934234zbMath1329.35008OpenAlexW3124043031MaRDI QIDQ2945617

Christoph Belak, Jörn Sass, Olaf Menkens

Publication date: 14 September 2015

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

Full work available at URL: http://doras.dcu.ie/20852/1/OA__Uniqueness_of_Viscosity_Solutions.pdf

zbMATH Keywords

Hamilton-Jacobi-Bellman equationtransaction costsuniqueness of the value function

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Viscosity solutions to PDEs (35D40) Hamilton-Jacobi equations (35F21) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02) Comparison principles in context of PDEs (35B51)

Related Items (7)

Optimal Investment with Time-Varying Stochastic Endowments ⋮ A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables ⋮ Finite-horizon optimal investment with transaction costs: construction of the optimal strategies ⋮ Worst-case portfolio optimization with proportional transaction costs ⋮ Optimal Consumption and Investment with Fixed and Proportional Transaction Costs ⋮ Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit ⋮ Biological population management based on a Hamilton–Jacobi–Bellman equation with boundary blow up

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