Free boundary problem for an optimal investment problem with a borrowing constraint

DOI10.3934/JIMO.2021049MaRDI QIDQ2673401zbMATH OpenOpenAlexFDO

Authors Chonghu Guan, Xun Li, Rui Zhou, Wenxin Zhou

Publication date 9 June 2022

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2021049

zbMATH Keywords

borrowing constraintCRRA utilityfree boundary problemoptimal investmentstochastic optimal control

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Portfolio theory (91G10)

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Cited in

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• scientific article; zbMATH DE number 912568 (Why is no real title available?)

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