STOCHASTIC HAMILTON-JACOBI-BELLMAN EQUATION AND VISCOSITY SOLUTIONS IN THE CASE OF MAXIMIZING THE EXPECTATION OF THE UTILITY FUNCTION

DOI10.17654/0972086323003OpenAlexW4315864891MaRDI QIDQ6170163

Unnamed Author, Unnamed Author, Unnamed Author, Frédéric Béré

Publication date: 15 August 2023

Published in: Far East Journal of Theoretical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.17654/0972086323003

zbMATH Keywords

viscosity solutionsemimartingaleoptimal stochastic controlstochastic Hamilton-Jacobi-Bellman equation

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Hamilton-Jacobi equations (35F21) Hamilton-Jacobi equations in optimal control and differential games (49L12)

Cites Work

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• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
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• Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
• Shadow price approximation for the fractional Black Scholes model
• Stochastic Hamilton–Jacobi–Bellman Equations
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations

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