Keywords and phrases: optimal stochastic control, stochastic Hamilton-Jacobi-Bellman equation, viscosity solution, semimartingale.
Received: November 2, 2022; Accepted: January 3, 2023; Published: January 13, 2023
How to cite this article: Sibiri Narcisse Dolemweogo, Frédéric Béré, Abel Zongo and S. Pierre Clovis Nitiéma, Stochastic Hamilton-Jacobi-Bellman equation and viscosity solutions in the case of maximizing the expectation of the utility function of the fractional Black-Scholes model approximated by a semimartingale, Far East Journal of Theoretical Statistics 67(1) (2023), 33-47. http://dx.doi.org/10.17654/0972086323003
This Open Access Article is Licensed under Creative Commons Attribution 4.0 International License
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