A Free Boundary Problem of Liquidity Management for Optimal Dividend and Insurance in Finite Horizon
DOI10.1137/20M1329949zbMath1478.60131OpenAlexW3177898727MaRDI QIDQ5000635
Chonghu Guan, Xiao Shan Chen, Fa-huai 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
Dynamic programming in optimal control and differential games (49L20) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Existence of optimal solutions to problems involving randomness (49J55)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Free boundary problem of Barenblatt equation in stochastic control
- Optimal dividend strategies in a Cramér-Lundberg model with capital injections
- Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
- Skorohod problems with nonsmooth boundary conditions
- Parabolic variational inequalities in one space dimension and smoothness of the free boundary
- Controlled diffusion models for optimal dividend pay-out
- Viscosity solutions of an infinite-dimensional Black-Scholes-Barenblatt equation
- Stochastic calculus for finance. II: Continuous-time models.
- Optimal dividend policies with transaction costs for a class of jump-diffusion processes
- 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
- Finite Horizon Optimal Investment and Consumption with Transaction Costs
- BOUNDEDLY NONHOMOGENEOUS ELLIPTIC AND PARABOLIC EQUATIONS IN A DOMAIN
- On an Aleksandrov-Bakel'Man Type Maximum Principle for Second-Order Parabolic Equations
This page was built for publication: A Free Boundary Problem of Liquidity Management for Optimal Dividend and Insurance in Finite Horizon