- Series
- Applied and Computational Mathematics Seminar
- Time
- Monday, December 4, 2017 - 2:00pm for 1 hour (actually 50 minutes)
- Location
- Skiles 005
- Speaker
- Tao Pang – Department of Mathematics, North Carolina State University – http://www4.ncsu.edu/~tpang/
- Organizer
- Luca Dieci
In the real world, the historical performance of a stock may have
impacts on its dynamics and this suggests us to consider models with
delays. We consider a portfolio optimization problem of Merton’s type
in which the risky asset is described by a stochastic delay model. We
derive the Hamilton-Jacobi-Bellman (HJB) equation, which turns out to
be a nonlinear degenerate partial differential equation of the
elliptic type. Despite the challenge caused by the nonlinearity and
the degeneration, we establish the existence result and the
verification results.