Work

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

Year: 2015

Type: preprint

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.

Source: RePEc: Research Papers in Economics

DOI: 10.48550/arxiv.1510.03584

Author: Lazgham, Mourad

Institution: University of Mannheim

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Deutsche Forschungsgemeinschaft

Award: G1688335742

OpenAlex ID: W2187940566

Cites: 8

Cited by:

Related to: 20