Hamilton-Jacobi-Bellman Equation Arising from Optimal Portfolio Selection Problem
Mathematical Finance
2023-08-08 v1
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.
Cite
@article{arxiv.2308.02627,
title = {Hamilton-Jacobi-Bellman Equation Arising from Optimal Portfolio Selection Problem},
author = {Daniel Sevcovic and Cyril Izuchukwu Udeani},
journal= {arXiv preprint arXiv:2308.02627},
year = {2023}
}