Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems
نویسندگان
چکیده
منابع مشابه
Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems
In this paper we prove that there exists a smooth classical solution to the HJB equation for a large class of constrained problems with utility functions that are not necessarily differentiable or strictly concave. The value function is smooth if the optimal control satisfies an exponential moment condition or if the value function is continuous on the closure of its domain. The key idea is to ...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2011
ISSN: 1945-497X
DOI: 10.1137/100793396