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On traveling wave solutions to Hamilton-Jacobi-Bellman equation with inequality constraints (1108.1035v3)
Published 4 Aug 2011 in q-fin.PM and math.AP
Abstract: The aim of this paper is to construct and analyze solutions to a class of Hamilton-Jacobi-BeLLMan equations with range bounds on the optimal response variable. Using the Riccati transformation we derive and analyze a fully nonlinear parabolic partial differential equation for the optimal response function. We construct monotone traveling wave solutions and identify parametric regions for which the traveling wave solution has a positive or negative wave speed.
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