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On the Stability of Utility Maximization Problems
On the Stability Utility Maximization Problems
2010/10/22
In this paper we extend the stability results of [4]}. Our utility maximization problem is defined as an essential supremum of conditional expectations of the terminal values of wealth processes, con...
Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems
nonsmooth utility maximization classical solution to HJB equation smooth
2010/10/20
In this paper we prove that there exists a smooth classical solution to the HJB equation for a large class of constrained problems with utility functions that are not necessarily differentiable or st...