Utility maximization with habit formation: Dynamic programming and stochastic PDEs

SIAM Journal on Control and Optimization

Volumn 48, Issue 2, 2009, Pages 481-520

  Englezos, Nikolaos ^a   Karatzas, Ioannis ^a  

^a Och Spine at New York Presbyterian Hospitals   (United States)

Author keywords

Feedback formulae; Generalized utility function; Habit formation; Random fields; Stochastic backward partial differential equations; Stochastic Hamilton Jacobi Bellman equation

Indexed keywords

GENERALIZED UTILITY FUNCTION; HABIT FORMATION; RANDOM FIELDS; STOCHASTIC BACKWARD PARTIAL DIFFERENTIAL EQUATIONS; STOCHASTIC HAMILTON-JACOBI-BELLMAN EQUATION;

COMPUTATIONAL FLUID DYNAMICS; DYNAMIC PROGRAMMING; FORMING; MEATS; NEMATIC LIQUID CRYSTALS; NONLINEAR EQUATIONS; OPTIMIZATION; RANDOM PROCESSES; SYSTEMS ENGINEERING; WIRELESS LOCAL AREA NETWORKS (WLAN);

PARTIAL DIFFERENTIAL EQUATIONS;

EID: 60649095869     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/070686998     Document Type: Article

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