英文标题：
《Smooth solutions to discounted reward control problems with unbounded
discount rate and financial applications》
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作者：
Dariusz Zawisza
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最新提交年份：
2016
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英文摘要：
We consider a discounted reward control problem in continuous time stochastic environment where the discount rate might be an unbounded function of the control process. We provide a set of general assumptions to ensure that there exists a smooth classical solution to the corresponding HJB equation. Moreover, some verification reasoning are provided and the possible extension to dynamic games is discussed. At the end of the paper consumption - investment problems arising in financial economics are considered.
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中文摘要：
考虑连续时间随机环境下的折扣报酬控制问题，其中折扣率可能是控制过程的无界函数。我们提供了一组一般假设，以确保相应的HJB方程存在光滑的经典解。此外，还提供了一些验证推理，并讨论了动态博弈的可能扩展。本文最后讨论了金融经济学中的消费投资问题。
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分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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