A Free Boundary Problem Arising from a Stochastic Optimal Control Model with Bounded Dividend Rate
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Publication:2929460
DOI10.1080/07362994.2014.922778zbMath1302.35462OpenAlexW2063385096MaRDI QIDQ2929460
Publication date: 12 November 2014
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2014.922778
Stochastic models in economics (91B70) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Free boundary problems for PDEs (35R35) Existence of optimal solutions to problems involving randomness (49J55)
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