A free boundary problem arising from a stochastic optimal control model under controllable risk
DOI10.1016/J.JDE.2015.10.040zbMATH Open1331.35400OpenAlexW2231089487MaRDI QIDQ907786FDOQ907786
Authors: Chonghu Guan, Fahuai Yi 
Publication date: 26 January 2016
Published in: Journal of Differential Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jde.2015.10.040
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Cites Work
- Stochastic calculus for finance. II: Continuous-time models.
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- Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
- Viscosity solutions of an infinite-dimensional Black-Scholes-Barenblatt equation
- Optimal proportional reinsurance policies for diffusion models with transaction costs
- Optimal risk and dividend distribution control models for an insurance company
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- Optimal risk and dividend control for a company with a debt liability
Cited In (11)
- A stochastic control problem and related free boundaries in finance
- Free Boundaries Problem for a Class of Parabolic Type Chemotaxis Model
- Free boundary problem for a fully nonlinear and degenerate parabolic equation in an angular domain
- A free boundary problem related to singular stochastic control: the parabolic case
- Free boundary problem of Barenblatt equation in stochastic control
- A free boundary problem for a class of nonlinear nonautonomous size-structured population model
- A free boundary problem of liquidity management for optimal dividend and insurance in finite horizon
- A fully nonlinear free boundary problem for minimizing the ruin probability
- A fully nonlinear free boundary problem arising from optimal dividend and risk control model
- A free boundary problem arising from a stochastic optimal control model with bounded dividend rate
- Finite horizon optimal dividend and reinsurance problem driven by a jump-diffusion process with controlled jumps
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