Optimal stopping investment with non-smooth utility over an infinite time horizon

DOI10.3934/jimo.2018033zbMath1415.91131OpenAlexW2802956242WikidataQ129711208 ScholiaQ129711208MaRDI QIDQ2423273

Xiao Shan Chen, Xun Li, Fa-huai Yi

Publication date: 21 June 2019

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2018033

zbMATH Keywords

optimal stoppingfree boundarydual transformationoptimal investmentnon-smooth utility

Mathematics Subject Classification ID

Nonlinear boundary value problems for ordinary differential equations (34B15) Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20)

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