Solving a Hamilton–Jacobi–Bellman equation with constraints

DOI10.1080/17442508.2013.795570zbMath1284.91229OpenAlexW2095382921MaRDI QIDQ5410801

Christian Hipp, Alireza Edalati

Publication date: 17 April 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2013.795570

zbMATH Keywords

constraintsviscosity solutionsoptimal investmentmaximal survival probability

Mathematics Subject Classification ID

Cites Work

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• Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
• Optimal investment policy and dividend payment strategy in an insurance company
• Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
• User’s guide to viscosity solutions of second order partial differential equations
• Optimal investment for insurers
• Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach

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