A simple strong solution to non-linear HJB PDEs: an application to the portfolio model
We develop a simple and general method for solving non-linear Hamilton-Jacobi-Bellman partial differential equations HJB PDEs. We apply our method to the portfolio model.
When requesting a correction, please mention this item's handle: RePEc:arx:papers:1211.5816. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators)
If references are entirely missing, you can add them using this form.