Free boundary problem for an optimal investment problem with a borrowing constraint

DOI10.3934/jimo.2021049zbMath1499.91117OpenAlexW3137368738MaRDI QIDQ2673401

Xun Li, Chonghu Guan, Wenxin Zhou, Rui Zhou

Publication date: 9 June 2022

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

Full work available at URL: https://doi.org/10.3934/jimo.2021049

zbMATH Keywords

free boundary problemstochastic optimal controloptimal investmentborrowing constraintCRRA utility

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Portfolio theory (91G10)

Cites Work

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