Utility Maximization Under Trading Constraints with Discontinuous Utility
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Publication:5742502
DOI10.1137/18M1174659zbMath1411.91482OpenAlexW2922576597MaRDI QIDQ5742502
Zuo Quan Xu, Xinfu Chen, Baojun Bian
Publication date: 14 May 2019
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/18m1174659
variational inequalityviscosity solutionstochastic controlconvex cone constraintdiscontinuous utility function
Utility theory (91B16) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)
Related Items (4)
Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints ⋮ Relative Growth Rate Optimization Under Behavioral Criterion ⋮ Non-concave expected utility optimization with uncertain time horizon ⋮ Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game
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