scientific article

zbMath1190.49034MaRDI QIDQ3552446

Yuji Mita, Naoyuki Ishimura

Publication date: 22 April 2010

Full work available at URL: https://eudml.org/doc/37718

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

discrete Hamilton-Jacobi-Bellman equationoptimal portfolio problemdiscrete Ito formula

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (2)

ON THE CONVERGENCE OF DISCRETE PROCESSES WITH MULTIPLE INDEPENDENT VARIABLES ⋮ On an asymptotic viscosity solution property of solutions of discrete Hamilton-Jacobi-Bellman equations

Cites Work

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• Incomplete security markets with infinitely many states: An introduction
• Existence of solutions for the nonlinear partial differential equation arising in the optimal investment problem
• On financial markets based on telegraph processes
• A random walk analogue of Lévy’s Theorem
• Arbitrage Theory in Continuous Time

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