Global Closed-Form Approximation of Free Boundary for Optimal Investment Stopping Problems
From MaRDI portal
Publication:5232216
DOI10.1137/18M1184850zbMath1420.49031arXiv1810.09397OpenAlexW2896270898WikidataQ127679285 ScholiaQ127679285MaRDI QIDQ5232216
Harry Zheng, Jie Xing, Jingtang Ma
Publication date: 30 August 2019
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1810.09397
Optimality conditions and duality in mathematical programming (90C46) Dynamic programming in optimal control and differential games (49L20)
Related Items (3)
Horizon effect on optimal retirement decision ⋮ Optimal expansion of business opportunity ⋮ Least-squares Monte-Carlo methods for optimal stopping investment under CEV models
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- An explicit solution for an optimal stopping/optimal control problem which models an asset sale
- Continuous-time stochastic control and optimization with financial applications
- Parabolic variational inequalities in one space dimension and smoothness of the free boundary
- Turnpike property and convergence rate for an investment model with general utility functions
- Optimal investment with stopping in finite horizon
- A stochastic control problem and related free boundaries in finance
- On the rate of convergence of the binomial tree scheme for American options
- On the optimal stopping problem for one-dimensional diffusions.
- Utility Maximization with Discretionary Stopping
- Mixed Optimal Stopping and Stochastic Control Problems with Semicontinuous Final Reward for Diffusion Processes
- Optimal payment of mortgages
This page was built for publication: Global Closed-Form Approximation of Free Boundary for Optimal Investment Stopping Problems
