ON REGULARITY OF DYNAMIC VALUE FUNCTION RELATED TO THE UTILITY MAXIMIZATION PROBLEM

被引：0

作者：

Mania, M. ^{[1
]}

Tevzadze, R. ^{[2
]}

机构：

[1] I Javakhishvili Tbilisi State Univ, A Razmadze Math Inst, 6 Tamarashvili St, GE-0177 Tbilisi, Georgia

[2] Georgian Tech Univ, Vladimir Chavchanidze Inst Cybernet, GE-0186 Tbilisi, Georgia

来源：

PROCEEDINGS OF A RAZMADZE MATHEMATICAL INSTITUTE | 2015年 / 168卷

关键词：

Utility maximization; complete markets; Backward stochastic partial differential equation; value function;

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We study the regularity properties of both the dynamic value function and the optimal solution to the utility maximization problem for utility functions defined on the whole real line. These properties are needed to show that the value function satisfies the corresponding backward stochastic partial differential equation. In particular, in the case of complete markets we give conditions on the utility function when this equation admits a solution.

引用

页码：63 / 77

页数：15

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