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      An HJB Approach to a General Continuous-Time Mean-Variance Stochastic Control Problem

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          Abstract

          We consider a general continuous mean-variance problem where the cost functional has an integral and a terminal-time component. We transform the problem into a superposition of a static and a dynamic optimization problem. The value function of the latter can be considered as the solution to a degenerate HJB equation either in viscosity or in Sobolev sense (after regularization) under suitable assumptions and with implications with regards to the optimality of strategies.

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          Journal
          1508.05835

          Numerical methods,Probability
          Numerical methods, Probability

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