On traveling wave solutions to Hamilton-Jacobi-Bellman equation with inequality constraints
Portfolio Management
2012-05-25 v3 Analysis of PDEs
Abstract
The aim of this paper is to construct and analyze solutions to a class of Hamilton-Jacobi-Bellman equations with range bounds on the optimal response variable. Using the Riccati transformation we derive and analyze a fully nonlinear parabolic partial differential equation for the optimal response function. We construct monotone traveling wave solutions and identify parametric regions for which the traveling wave solution has a positive or negative wave speed.
Keywords
Cite
@article{arxiv.1108.1035,
title = {On traveling wave solutions to Hamilton-Jacobi-Bellman equation with inequality constraints},
author = {Naoyuki Ishimura and Daniel Sevcovic},
journal= {arXiv preprint arXiv:1108.1035},
year = {2012}
}