摘要翻译：
本文的目的是构造并分析一类在最优响应变量上有值域界的Hamilton-Jacobi-Bellman方程的解。利用Riccati变换，导出并分析了一个完全非线性抛物型偏微分方程的最优响应函数。我们构造单调行波解，并识别出行波解具有正波速或负波速的参数区域。
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英文标题：
《On traveling wave solutions to Hamilton-Jacobi-Bellman equation with
  inequality constraints》
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作者：
Naoyuki Ishimura and Daniel Sevcovic
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics        数学
二级分类：Analysis of PDEs        偏微分方程分析
分类描述：Existence and uniqueness, boundary conditions, linear and non-linear operators, stability, soliton theory, integrable PDE's, conservation laws, qualitative dynamics
存在唯一性，边界条件，线性和非线性算子，稳定性，孤子理论，可积偏微分方程，守恒律，定性动力学
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英文摘要：
  The aim of this paper is to construct and analyze solutions to a class of Hamilton-Jacobi-Bellman equations with range bounds on the optimal response variable. Using the Riccati transformation we derive and analyze a fully nonlinear parabolic partial differential equation for the optimal response function. We construct monotone traveling wave solutions and identify parametric regions for which the traveling wave solution has a positive or negative wave speed.
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PDF链接：
https://arxiv.org/pdf/1108.1035