On the smoothness of value functions and the existence of optimal strategies in diffusion models
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DOI: 10.1016/j.jet.2015.03.015
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- Weidong Tian & Zimu Zhu, 2020. "A Portfolio Choice Problem Under Risk Capacity Constraint," Papers 2005.13741, arXiv.org, revised Dec 2021.
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Journal of Economic Theory, Elsevier, vol. 208(C).
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More about this item
Keywords
Optimal control; Optimal stopping; Smooth pasting; Super contact; Markov control; HJB equation;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
- D86 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Economics of Contract Law
- O40 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General
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