A free boundary problem of liquidity management for optimal dividend and insurance in finite horizon

DOI10.1137/20M1329949MaRDI QIDQ5000635zbMATH OpenOpenAlexFDO

Authors Xiao Shan Chen, Chonghu Guan, Fahuai Yi

Publication date 15 July 2021

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/20m1329949

zbMATH Keywords

free boundarystochastic controlgradient constraintBarenblatt equation

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic models in economics (91B70) Optimal stochastic control (93E20)

Recommendations

• A free boundary problem arising from a stochastic optimal control model under controllable risk
• Free boundary problem for a fully nonlinear and degenerate parabolic equation in an angular domain
• OPTIMAL DIVIDEND PAYMENTS WHEN CASH RESERVES FOLLOW A JUMP-DIFFUSION PROCESS
• Free boundary problem from a dividend payment model with barrier strategy
• A fully nonlinear free boundary problem for minimizing the ruin probability

Cites work

• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• scientific article; zbMATH DE number 1061253 (Why is no real title available?)
• scientific article; zbMATH DE number 3233089 (Why is no real title available?)
• scientific article; zbMATH DE number 3262637 (Why is no real title available?)
• A fully nonlinear free boundary problem arising from optimal dividend and risk control model
• A problem of singular stochastic control with optimal stopping in finite horizon
• BOUNDEDLY NONHOMOGENEOUS ELLIPTIC AND PARABOLIC EQUATIONS IN A DOMAIN
• Controlled diffusion models for optimal dividend pay-out
• Finite horizon optimal investment and consumption with transaction costs
• Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
• Free boundary problem of Barenblatt equation in stochastic control
• On an Aleksandrov-Bakel'Man Type Maximum Principle for Second-Order Parabolic Equations
• Optimal dividend policies with transaction costs for a class of jump-diffusion processes
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• Skorohod problems with nonsmooth boundary conditions
• Stochastic calculus for finance. II: Continuous-time models.
• Viscosity solutions of an infinite-dimensional Black-Scholes-Barenblatt equation

Cited in

(2)

• Equilibria for time-inconsistent singular control problems
• Finite horizon optimal dividend and reinsurance problem driven by a jump-diffusion process with controlled jumps

This page was built for publication: A free boundary problem of liquidity management for optimal dividend and insurance in finite horizon

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5000635)