Hamilton-Jacobi-Bellman Equation Arising from Optimal Portfolio Selection Problem

Daniel Sevcovic and Cyril Izuchukwu Udeani

Papers from arXiv.org

Abstract: The Hamilton-Jacobi-Bellman equation arising from the optimal portfolio selection problem is studied by means of the maximal monotone operator method. The existence and uniqueness of a solution to the Cauchy problem for the nonlinear parabolic partial integral differential equation in an abstract setting are investigated by using the Banach fixed-point theorem, the Fourier transform, and the monotone operators technique.

Date: 2023-08
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2308.02627 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2308.02627

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().