Solving a Hamilton-Jacobi-Bellman equation with constraints

被引：3
|
作者：
Edalati, Alireza [1 ]
Hipp, Christian [1 ]
机构：
[1] Karlsruhe Inst Technol, D-76021 Karlsruhe, Germany
来源：
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2013年 / 85卷 / 04期
关键词：
optimal investment; maximal survival probability; constraints; viscosity solutions; OPTIMAL INVESTMENT; STRATEGY;
D O I：
10.1080/17442508.2013.795570
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
Optimal investment strategies for an insurer with state-dependent constraints are computed via a recursive finite difference solution to the corresponding discretized Hamilton-Jacobi-Belman equation. Convergence is derived from viscosity solution arguments. For this, a comparison result is given which is similar to the result given by Azcue and Muler [Ann. Appl. Probab. 20 (2010), pp. 1253-1302].
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页码：637 / 651
页数：15
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