Utility maximization with current utility on the wealth : regularity of solutions to the HJB equation
Salvatore Federico, Paul Gassiat, Fausto Gozzi
| Year of publication: |
April 2015
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|---|---|
| Authors: | Federico, Salvatore ; Gassiat, Paul ; Gozzi, Fausto |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 19.2015, 2, p. 415-448
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| Subject: | Optimal stochastic control | Investment-consumption problem | Duality | Hamilton-Jacobi-Bellman equation | Regularity of viscosity solutions | Mathematische Optimierung | Mathematical programming | Nutzen | Utility | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory | Dynamische Optimierung | Dynamic programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-015-0257-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011418169