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A regular equilibrium solves the extended HJB system · Study

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ArticleA regular equilibrium solves the extended HJB system

Kristoffer Lindensjö2019

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Articlegreen2019

A regular equilibrium solves the extended HJB system

Kristoffer Lindensjö

22 citations·0/0 files stored·Operations Research Letters

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Stochastic processes and financial applications Game Theory and Applications Adaptive Dynamic Programming Control

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References

1975Reexamination of the perfectness concept for equilibrium points in extensive games 1955Myopia and Inconsistency in Dynamic Utility Maximization 1973Myopia and Inconsistency in Dynamic Utility Maximization 1991Brownian motion and stochastic calculus 1990Asset Prices under Habit Formation and Catching up with the Joneses 1989Brownian Motion and Stochastic Calculus.1998Methods of Mathematical Finance 2010Dynamic Mean-Variance Asset Allocation

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Year2019

Typearticle

Published2019-08-05

VenueOperations Research Letters

ISSN-L0167-6377

Languageen

Citations22

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.orl.2019.07.011

openalex_workW2964759233

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