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Regularity properties in a state-constrained expected utility maximization problem

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  • Mourad Lazgham

Abstract

We consider a stochastic optimal control problem in a market model with temporary and permanent price impact, which is related to an expected utility maximization problem under finite fuel constraint. We establish the initial condition fulfilled by the corresponding value function and show its first regularity property. Moreover, we can prove the existence and uniqueness of optimal strategies under rather mild model assumptions. On the one hand, this result is of independent interest. On the other hand, it will then allow us to derive further regularity properties of the corresponding value function, in particular its continuity and partial differentiability. As a consequence of the continuity of the value function, we will prove the dynamic programming principle without appealing to the classical measurable selection arguments.

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  • Mourad Lazgham, 2015. "Regularity properties in a state-constrained expected utility maximization problem," Papers 1510.03079, arXiv.org.
    • Handle: RePEc:arx:papers:1510.03079
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    References listed on IDEAS

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    Cited by:

    1. Mourad Lazgham, 2015. "Viscosity properties with singularities in a state-constrained expected utility maximization problem," Papers 1510.03584, arXiv.org.

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