English

Viscosity properties with singularities in a state-constrained expected utility maximization problem

Mathematical Finance 2015-10-14 v1

Abstract

We consider the value function originating from an expected utility maximization problem with finite fuel constraint and show its close relation to a nonlinear parabolic degenerated Hamilton-Jacobi-Bellman (HJB) equation with singularity. On one hand, we give a so-called verification argument based on the dynamic programming principle, which allows us to derive conditions under which a classical solution of the HJB equation coincides with our value function (provided that it is smooth enough). On the other hand, we establish a comparison principle, which allows us to characterize our value function as the unique viscosity solution of the HJB equation.

Cite

@article{arxiv.1510.03584,
  title  = {Viscosity properties with singularities in a state-constrained expected utility maximization problem},
  author = {Mourad Lazgham},
  journal= {arXiv preprint arXiv:1510.03584},
  year   = {2015}
}

Comments

23 pages, supported by Deutsche Forschungsgemeinschaft through Grant SCHI 500/3-1

R2 v1 2026-06-22T11:18:52.318Z