Optimal consumption in a Brownian model with absorption and finite time horizon
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Publication:358618
DOI10.1007/S00245-012-9185-XzbMATH Open1272.93128OpenAlexW2029840244MaRDI QIDQ358618FDOQ358618
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
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Cites Work
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- Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
- A class of singular stochastic control problems
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- Sequential decisions in the control of a space-ship (finite fuel)
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- Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems
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- 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
Cited In (9)
- Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
- An optimal consumption problem in finite time with a constraint on the ruin probability
- A two-dimensional dividend problem for collaborating companies and an optimal stopping problem
- Optimal consumption under deterministic income
- Optimal dividends and capital injection under dividend restrictions
- Optimal dividend payout under stochastic discounting
- Existence of an infinite-horizon optimal impulse consumption of a geometric Brownian motion with variable coefficients
- Existence and asymptotic behavior of an optimal barrier for an optimal consumption problem in a Brownian model with absorption and finite time horizon
- The dividend problem with a finite horizon
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