We establish some elementary results on solutions to the Bellman equation without introducing any topological assumption. Under a small number of conditions, we show that the Bellman equation has a ...

This is a preview. Log in through your library . Abstract We study the problem of the existence and uniqueness of solutions to the Bellman equation in the presence of unbounded returns. We introduce a ...

We present efficient partial differential equation (PDE) methods for continuous-time mean-variance portfolio allocation problems when the underlying risky asset follows a stochastic volatility process ...