{"title":"General Smooth Solutions to the HJB PDE: Applications to Finance","authors":"Moawia Alghalith","doi":"10.2139/SSRN.2684229","DOIUrl":null,"url":null,"abstract":"We overcome a major obstacle in mathematical optimization. In so doing, we provide a smooth solution to the HJB PDE without assuming the differentiability of the value function. We apply our method to financial models.","PeriodicalId":286833,"journal":{"name":"arXiv: Portfolio Management","volume":"1 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2015-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv: Portfolio Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/SSRN.2684229","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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Abstract
We overcome a major obstacle in mathematical optimization. In so doing, we provide a smooth solution to the HJB PDE without assuming the differentiability of the value function. We apply our method to financial models.
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