Constrained Utility Deviation-Risk Optimization and Time-Consistent HJB Equation
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Publication:5221327
DOI10.1137/19M1256014zbMath1436.49036MaRDI QIDQ5221327
Harry Zheng, Shijing Si, Jia-Wen Gu
Publication date: 25 March 2020
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
incomplete marketcontrol constraintstochastic risk aversiontime-consistent dynamic programming equationutility deviation-risk optimization
Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Applications of stochastic analysis (to PDEs, etc.) (60H30) Hamilton-Jacobi equations (35F21)
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