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arXiv · 2308.02627

Hamilton-Jacobi-Bellman Equation Arising from Optimal Portfolio Selection Problem

Daniel Sevcovic·Cyril Izuchukwu Udeani
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Abstract

The Hamilton-Jacobi-Bellman equation arising from the optimal portfolio selection problem is studied by means of the maximal monotone operator method. The existence and uniqueness of a solution to the Cauchy problem for the nonlinear parabolic partial integral differential equation in an abstract setting are investigated by using the Banach fixed-point theorem, the Fourier transform, and the monotone operators technique.

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Daniel Sevcovic, Cyril Izuchukwu Udeani. 2023-08-04. Hamilton-Jacobi-Bellman Equation Arising from Optimal Portfolio Selection Problem. https://arxiv.org/abs/2308.02627

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