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

共 50 条

[41] Optimal investments for the standard maximization problem with non-concave utility function in complete market model
Olena Bahchedjioglou
Georgiy Shevchenko
Mathematical Methods of Operations Research, 2022, 95 : 163 - 181
[42] Research on influence maximization problem in dynamic networks
Wang, Xue-Guang
INFORMATION SCIENCE AND MANAGEMENT ENGINEERING, VOLS 1-3, 2014, 46 : 1145 - 1152
[43] Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems
Bian, Baojun
Miao, Sheng
Zheng, Harry
SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2011, 2 (01): : 727 - 747
[44] Optimal Investment Strategy for a-Robust Utility Maximization Problem
Yang, Zhou
Li, Danping
Zeng, Yan
Liu, Guanting
MATHEMATICS OF OPERATIONS RESEARCH, 2025, 50 (01)
[45] Dual formulation of the utility maximization problem under transaction costs
Deelstra, G
Pham, H
Touzi, N
ANNALS OF APPLIED PROBABILITY, 2001, 11 (04): : 1353 - 1383
[46] STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS
Kardaras, Constantinos
Zitkovic, Gordan
MATHEMATICAL FINANCE, 2011, 21 (02) : 313 - 333
[47] MAXIMIZATION PROBLEM RELATED TO PARAMETRIC LINEAR COMPLEMENTARITY
KANEKO, I
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 1978, 16 (01) : 41 - 55
[48] AN ENTROPY MAXIMIZATION PROBLEM RELATED TO OPTICAL COMMUNICATION
MCELIECE, RJ
RODEMICH, ER
SWANSON, L
IEEE TRANSACTIONS ON INFORMATION THEORY, 1986, 32 (02) : 322 - 326
[49] Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization
Ma, Jingtang
Li, Wenyuan
Zheng, Harry
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2017, 262 (03) : 851 - 862
[50] DYNAMIC-PROGRAMMING FORMULATION OF THE GROUP INTERVIEW PROBLEM WITH A GENERAL UTILITY FUNCTION
CHUN, YH
MOSKOWITZ, H
PLANTE, RD
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 1994, 78 (01) : 81 - 92

← 1 2 3 4 5 →