Optimal consumption in a Brownian model with absorption and finite time horizon

DOI10.1007/S00245-012-9185-XMaRDI QIDQ358618zbMATH OpenOpenAlexFDO

Authors Peter Grandits

Publication date 9 August 2013

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00245-012-9185-x

zbMATH Keywords

optimal consumptionfree boundary value problemsingular control problem

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Optimal stochastic control (93E20)

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• Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems
• Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
• Controlled diffusion models for optimal dividend pay-out
• Existence and asymptotic behavior of an optimal barrier for an optimal consumption problem in a Brownian model with absorption and finite time horizon
• Free boundary problems of Stephan type with prescribed flux
• On optimal stopping and free boundary problems
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• Sequential decisions in the control of a space-ship (finite fuel)
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Cited in

(9)

• Existence and asymptotic behavior of an optimal barrier for an optimal consumption problem in a Brownian model with absorption and finite time horizon
• Optimal dividend payout under stochastic discounting
• Optimal consumption under deterministic income
• A two-dimensional dividend problem for collaborating companies and an optimal stopping problem
• An optimal consumption problem in finite time with a constraint on the ruin probability
• Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
• Existence of an infinite-horizon optimal impulse consumption of a geometric Brownian motion with variable coefficients
• Optimal dividends and capital injection under dividend restrictions
• The dividend problem with a finite horizon

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