On the Hamilton--Jacobi--Bellman Equation for an Optimal Consumption Problem: II. Verification Theorem

DOI10.1137/110794857zbMath1252.49041OpenAlexW2024495128MaRDI QIDQ3143265

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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/10.1137/110794857

zbMATH Keywords

HJB equationsubsolutionsupersolutionfactor modeloptimal consumption problemhyperbolic absolute risk aversion utility

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)

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