Free boundary problem for a fully nonlinear and degenerate parabolic equation in an angular domain

DOI10.1016/j.jde.2018.07.070zbMath1447.35397OpenAlexW2886796589WikidataQ129425651 ScholiaQ129425651MaRDI QIDQ1627700

Chonghu Guan, Jing Chen, Fa-huai Yi

Publication date: 3 December 2018

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jde.2018.07.070

zbMATH Keywords

stochastic optimal controlinsurancereinsurancedegenerateangular domainparabolic Barenblatt equation

Mathematics Subject Classification ID

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

Related Items (2)

Free boundary problem for an optimal investment problem with a borrowing constraint ⋮ A fully nonlinear free boundary problem for minimizing the ruin probability

Cites Work

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• Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
• Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy

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