Utility maximization with current utility on the wealth : regularity of solutions to the HJB equation
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
|
Subject: | Optimal stochastic control | Investment-consumption problem | Duality | Hamilton-Jacobi-Bellman equation | Regularity of viscosity solutions | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Kontrolltheorie | Control theory | Nutzen | Utility |
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