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New Solutions for Non-smooth Value Functions

C. R. Math. Rep. Acad. Sci. Canada Vol. 34 (4) 2012, pp. 97–100
Vol.34 (4) 2012
Moawia Alghalith Details
(Received: 2011-06-28 , Revised: 2011-10-18 )
(Received: 2011-06-28 , Revised: 2011-10-18 )

Moawia Alghalith, UWI, St. Augustine; 2/8/2015e-mail: malghalith@gmail.com


In this paper, we provide strong solutions to the stochastic optimization problem when the value function is not necessarily smooth.

Des solutions fortes du problème d’optimisation stochastique sont fournies dans des cas où la fonction d’utilité indirecte n’est pas forcément dérivable.

Keywords: HJB, PDE, investment, portfolio, viscosity solutions

AMS Subject Classification: 35D40

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