Existence and asymptotic behavior of an optimal barrier for an optimal consumption problem in a Brownian model with absorption and finite time horizon

DOI10.1007/S00245-013-9223-3zbMATH Open1297.93185OpenAlexW1991446260MaRDI QIDQ742535FDOQ742535

Authors: Peter Grandits 

Publication date: 18 September 2014

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-013-9223-3

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zbMATH Keywords

optimal consumptionfree boundary value problemsingular control problem

Mathematics Subject Classification ID

Consumer behavior, demand theory (91B42) Optimal stochastic control (93E20)

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Cited In (7)

• 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 dividend payout under stochastic discounting
• Existence of an infinite-horizon optimal impulse consumption of a geometric Brownian motion with variable coefficients
• Optimal consumption in a Brownian model with absorption and finite time horizon
• The dividend problem with a finite horizon

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