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Hamilton-Jacobi-Bellman Equation Arising from Optimal Portfolio Selection Problem (2308.02627v1)
Published 4 Aug 2023 in q-fin.MF
Abstract: The Hamilton-Jacobi-BeLLMan equation arising from the optimal portfolio selection problem is studied by means of the maximal monotone operator method. The existence and uniqueness of a solution to the Cauchy problem for the nonlinear parabolic partial integral differential equation in an abstract setting are investigated by using the Banach fixed-point theorem, the Fourier transform, and the monotone operators technique.
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