A stochastic control problem and related free boundaries in finance

DOI10.3934/MCRF.2017021zbMath1373.35343OpenAlexW2755334478MaRDI QIDQ2411028

Zuo Quan Xu, Xun Li, Chonghu Guan, Fa-huai Yi

Publication date: 20 October 2017

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/mcrf.2017021

zbMATH Keywords

optimal stoppingfree boundarydual transformationparabolic variational inequalitynonsmooth utility

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Free boundary problems for PDEs (35R35)

Related Items (8)

Free boundary problem for an optimal investment problem with a borrowing constraint ⋮ A fully nonlinear free boundary problem for minimizing the ruin probability ⋮ Relative Growth Rate Optimization Under Behavioral Criterion ⋮ Optimal expansion of business opportunity ⋮ An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon ⋮ Least-squares Monte-Carlo methods for optimal stopping investment under CEV models ⋮ Utility Maximization Under Trading Constraints with Discontinuous Utility ⋮ Global Closed-Form Approximation of Free Boundary for Optimal Investment Stopping Problems

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