scientific article; zbMATH DE number 6727275

zbMath1364.91002MaRDI QIDQ5346068

Mourad Lazgham

Publication date: 8 June 2017

Full work available at URL: http://d-nb.info/1078852286/34

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

zbMATH Keywords

viscosity solutionvalue functionexpected utility maximization problem under finite fuel constraintHamilton-Jacobi-Bellmann equation with singularity

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

Uses Software

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