3 papers
q-fin.MF2016
Numerical solution of a semilinear parabolic degenerate Hamilton-Jacobi-Bellman equation with singularity
Mourad Lazgham
We consider a semilinear parabolic degenerated Hamilton-Jacobi-Bellman (HJB) equation with singularity which is related to a stochastic control problem with fuel constraint. The fu…
q-fin.MF2015
Viscosity properties with singularities in a state-constrained expected utility maximization problem
Mourad Lazgham
We consider the value function originating from an expected utility maximization problem with finite fuel constraint and show its close relation to a nonlinear parabolic degenerate…
q-fin.MF2015
Regularity properties in a state-constrained expected utility maximization problem
Mourad Lazgham
We consider a stochastic optimal control problem in a market model with temporary and permanent price impact, which is related to an expected utility maximization problem under fin…