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Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation.

Salvatore FedericoPaul GassiatFausto Gozzi
Published in: Finance Stochastics (2015)
Keyphrases
  • utility maximization
  • utility function
  • optimal control
  • hamilton jacobi bellman
  • bayesian networks
  • optimal solution
  • numerical solution
  • control problems