New Solutions for Non-smooth Value Functions
C. R. Math. Rep. Acad. Sci. Canada Vol. 34 (4) 2012, pp. 97–100
December 31, 2012
Moawia Alghalith, UWI, St. Augustine; 2/8/2015e-mail: malghalith@gmail.com
Abstract/Résumé:
In this paper, we provide strong solutions to the stochastic optimization problem when the value function is not necessarily smooth.
Des solutions fortes du problème d’optimisation stochastique sont fournies dans des cas où la fonction d’utilité indirecte n’est pas forcément dérivable.
Keywords: HJB, PDE, investment, portfolio, viscosity solutions
AMS Subject Classification: 35D40
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New Solutions for Non-smooth Value Functions
AMS Subject Classification: 35D40
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