A stochastic control problem and related free boundaries in finance
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Publication:2411028
DOI10.3934/mcrf.2017021zbMath1373.35343OpenAlexW2755334478MaRDI QIDQ2411028
Zuo Quan Xu, Xun Li, Chonghu Guan, Fa-huai Yi
Publication date: 20 October 2017
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/mcrf.2017021
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 (8)
Free boundary problem for an optimal investment problem with a borrowing constraint ⋮ A fully nonlinear free boundary problem for minimizing the ruin probability ⋮ Relative Growth Rate Optimization Under Behavioral Criterion ⋮ Optimal expansion of business opportunity ⋮ An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon ⋮ Least-squares Monte-Carlo methods for optimal stopping investment under CEV models ⋮ Utility Maximization Under Trading Constraints with Discontinuous Utility ⋮ Global Closed-Form Approximation of Free Boundary for Optimal Investment Stopping Problems
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