Numerical analysis of a free-boundary singular control problem in financial economics

DOI10.1016/S0165-1889(96)00933-5MaRDI QIDQ673248zbMATH OpenOpenAlexFDO

Authors Ayman Hindy, Chi-fu Huang, Steven H. Zhu

Publication date 28 February 1997

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1889(96)00933-5

zbMATH Keywords

Markov chainsvariational inequalityviscosity solution

Mathematics Subject Classification ID

Variational inequalities (49J40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Recommendations

• Numerical schemes for investment models with singular transactions
• Numerical Methods for an Optimal Investment-Consumption Model
• scientific article; zbMATH DE number 1069629
• A numerical scheme for a singular control problem: investment-consumption under proportional transaction costs

Cites work

• scientific article; zbMATH DE number 43732 (Why is no real title available?)
• scientific article; zbMATH DE number 46153 (Why is no real title available?)
• scientific article; zbMATH DE number 53999 (Why is no real title available?)
• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• scientific article; zbMATH DE number 3525695 (Why is no real title available?)
• scientific article; zbMATH DE number 4125214 (Why is no real title available?)
• scientific article; zbMATH DE number 3233089 (Why is no real title available?)
• scientific article; zbMATH DE number 3277871 (Why is no real title available?)
• Differential Games, Optimal Control and Directional Derivatives of Viscosity Solutions of Bellman’s and Isaacs’ Equations
• Investment-Consumption Models with Transaction Fees and Markov-Chain Parameters
• Numerical Methods for an Optimal Investment-Consumption Model
• Optimal Consumption and Portfolio Rules with Durability and Local Substitution
• Optimal consumption and portfolio rules with durability and habit formation
• Probability methods for approximations in stochastic control and for elliptic equations
• Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem
• User’s guide to viscosity solutions of second order partial differential equations
• Viscosity Solutions of Hamilton-Jacobi Equations

Cited in

(16)

• Optimal risk management problem of natural resources: application to oil drilling
• A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables
• State-Dependent Utility
• Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance
• Numerical approximation of a cash-constrained firm value with investment opportunities
• Numerical analysis of the model of optimal savings and borrowing
• Iterative methods for the solution of a singular control formulation of a GMWB pricing problem
• Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints
• Dynamic trading policies with price impact
• A current-value Hamiltonian approach to discrete-time optimal control problems in economic growth theory
• Numerical schemes for investment models with singular transactions
• Numerical Approximation by Quantization of Control Problems in Finance Under Partial Observations
• Liquidity risk and optimal dividend/investment strategies
• Existence of optimal consumption and portfolio rules with portfolio constraints and stochastic income, durability and habit formation.
• Solving Free-boundary Problems with Applications in Finance
• Optimal consumption and portfolio rules with durability and habit formation

This page was built for publication: Numerical analysis of a free-boundary singular control problem in financial economics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q673248)