On the Hamilton--Jacobi--Bellman Equation for an Optimal Consumption Problem: I. Existence of Solution

DOI10.1137/110794845zbMath1252.49026OpenAlexW2019570835MaRDI QIDQ3143264

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Publication date: 29 November 2012

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

Full work available at URL: https://doi.org/10.1137/110794845

zbMATH Keywords

HJB equationsubsolutionsupersolutionfactor modelpower utilityoptimal consumption problem

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Markov and semi-Markov decision processes (90C40) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10) Existence of optimal solutions to problems involving randomness (49J55)

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