On dynamic programming equations for utility indifference pricing under delta constraints
DOI10.1016/j.jmaa.2011.02.053zbMath1214.91144OpenAlexW2023476536MaRDI QIDQ534745
Publication date: 10 May 2011
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2011.02.053
viscosity solutiondynamic programming equationutility indifference priceHARA utilityportfolio constraint
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Utility theory (91B16) Financial applications of other theories (91G80)
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Cites Work
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