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Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach |
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| Authors: | Fred Espen Benth Kenneth Hvistendahl Karlsen Kristin Reikvam |
| Institution: | Department of Mathematics, University of Oslo, P. O. Box 1053, Blindern, N–0316 Oslo, Norway (e-mail: fredb@math.uio.no), NO Department of Mathematics, University of Bergen, Johs. Brunsgt. 12, N–5008 Bergen, Norway (e-mail: kenneth.karlsen@mi.uib.no), NO Department of Mathematics, University of Oslo, P. O. Box 1053, Blindern, N–0316 Oslo, Norway (e-mail: kre@math.uio.no), NO |
| Abstract: | |
| Keywords: | : Portfolio choice intertemporal utility stochastic control singular control dynamic programming integro-differential variational inequality state constraint problem viscosity solution comparison result |
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