Free boundary problem of Barenblatt equation in stochastic control
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Publication:316890
DOI10.3934/dcdsb.2016003zbMath1346.35244OpenAlexW2338209840MaRDI QIDQ316890
Publication date: 30 September 2016
Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcdsb.2016003
Stochastic models in economics (91B70) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Free boundary problems for PDEs (35R35)
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Cites Work
- Continuous-time stochastic control and optimization with financial applications
- Viscosity solutions of an infinite-dimensional Black-Scholes-Barenblatt equation
- Stochastic calculus for finance. II: Continuous-time models.
- BOUNDEDLY NONHOMOGENEOUS ELLIPTIC AND PARABOLIC EQUATIONS
- Elliptic Partial Differential Equations of Second Order
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