On a free boundary problem for an optimal investment problem with different interest rates
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Publication:1984699
DOI10.4310/CMS.2020.V18.N1.A2zbMath1439.35575MaRDI QIDQ1984699
Publication date: 7 April 2020
Published in: Communications in Mathematical Sciences (Search for Journal in Brave)
stochastic optimal controloptimal investmentfully nonlinear equationdifferent interest ratesfree boundary lines
Optimal stochastic control (93E20) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Free boundary problems for PDEs (35R35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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