Aivaliotis, G and Veretennikov, AY (2018) An HJB Approach to a General Continuous-Time Mean-Variance Stochastic Control Problem. Random Operators and Stochastic Equations, 26 (4). pp. 225-234. ISSN 0926-6364
Abstract
A general continuous mean-variance problem is considered for a diffusion controlled process where the reward functional has an integral and a terminal-time component. The problem is transformed into a superposition of a static and a dynamic optimization problem. The value function of the latter can be considered as the solution to a degenerate HJB equation either in the viscosity or in the Sobolev sense (after a regularization) under suitable assumptions and with implications with regards to the optimality of strategies. There is a useful interplay between the two approaches – viscosity and Sobolev.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2018 Walter de Gruyter GmbH, Berlin/Boston. This is a paper published in Random Operators and Stochastic Equations. Reproduced in accordance with the publisher's self-archiving policy: https://doi.org/10.1515/rose-2018-0020. |
Keywords: | Mean-variance; stochastic control; Hamilton–Jacobi–Bellman; Sobolev solutions; viscosity solutions |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 12 Nov 2018 12:38 |
Last Modified: | 04 Jul 2020 09:12 |
Status: | Published |
Publisher: | Walter de Gruyter GmbH |
Identification Number: | 10.1515/rose-2018-0020 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:138431 |