A free boundary problem arising from a stochastic optimal control model under controllable risk

DOI10.1016/J.JDE.2015.10.040MaRDI QIDQ907786zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

free boundarystochastic optimal controlreinsuranceinsurance companyparabolic Barenblatt equation

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic models in economics (91B70) Optimal stochastic control (93E20)

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Cites work

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• Continuous-time stochastic control and optimization with financial applications
• Controlled diffusion models for optimal dividend pay-out
• Optimal proportional reinsurance policies for diffusion models with transaction costs
• Optimal risk and dividend control for a company with a debt liability
• Optimal risk and dividend distribution control models for an insurance company
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
• Stochastic calculus for finance. II: Continuous-time models.
• Viscosity solutions of an infinite-dimensional Black-Scholes-Barenblatt equation

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
• Free boundary problem of Barenblatt equation in stochastic control
• A free boundary problem related to singular stochastic control: the parabolic case
• 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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