A fully nonlinear free boundary problem arising from optimal dividend and risk control model

DOI10.3934/MCRF.2019020MaRDI QIDQ2280170zbMATH OpenOpenAlexWikidataFDO

Authors Chonghu Guan, Xiao Shan Chen, Fahuai Yi

Publication date 18 December 2019

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

Full work available at URL https://doi.org/10.3934/mcrf.2019020

zbMATH Keywords

free boundaryinsuranceparabolic variational inequalityreinsurancestochastic optimal control

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cites work

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• A free boundary problem arising from a stochastic optimal control model with bounded dividend rate
• A problem of singular stochastic control with optimal stopping in finite horizon
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• Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
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• Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy
• Optimal risk and dividend control for a company with a debt liability
• Optimal risk and dividend distribution control models for an insurance company
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• Parabolic variational inequality with parameter and gradient constraints
• Viscosity solutions of an infinite-dimensional Black-Scholes-Barenblatt equation

Cited in

(11)

• Free boundary problem for a fully nonlinear and degenerate parabolic equation in an angular domain
• A fully nonlinear free boundary problem for minimizing the ruin probability
• Equity value, bankruptcy, and optimal dividend policy with finite maturity -- variational inequality approach with discontinuous coefficient
• Finite horizon optimal dividend and reinsurance problem driven by a jump-diffusion process with controlled jumps
• A free boundary problem arising from a stochastic optimal control model with bounded dividend rate
• Free boundary problem of Barenblatt equation in stochastic control
• A free boundary problem in variational inequality with gradient constraint
• A free boundary problem of liquidity management for optimal dividend and insurance in finite horizon
• Finite horizon optimal dividend and capital injection problem driven by a jump-diffusion process
• Optimal dividend payout problem under both diffusion risk and Poisson risk in finite horizon
• Optimal consumption under a drawdown constraint over a finite horizon

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