On the Well-Posedness of Hamilton-Jacobi-Bellman Equations of the Equilibrium Type

Author:

Lei Qian,Pun Chi Seng

Publisher

Elsevier BV

Reference44 articles.

1. our function space ? (2+?) [a,b] References [1] Suleyman Basak and Georgy Chabakauri. Dynamic mean-variance asset allocation;Moreover;Review Financial Studies,2010

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3. A theory of Markovian time-inconsistent stochastic control in discrete time;Tomas Bj�rk;Finance and Stochastics,2014

4. Mean-variance portfolio optimization with state-dependent risk aversion;Tomas Bj�rk;Mathematical Finance,2014

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