A Free Boundary Problem Arising from a Stochastic Optimal Control Model with Bounded Dividend Rate

DOI10.1080/07362994.2014.922778zbMath1302.35462OpenAlexW2063385096MaRDI QIDQ2929460

Chonghu Guan, Fa-huai Yi

Publication date: 12 November 2014

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2014.922778

zbMATH Keywords

free boundary problemstochastic optimal controlparabolic 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) Existence of optimal solutions to problems involving randomness (49J55)

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Free boundary problem for a fully nonlinear and degenerate parabolic equation in an angular domain, Finite horizon optimal dividend and reinsurance problem driven by a jump-diffusion process with controlled jumps, A fully nonlinear free boundary problem arising from optimal dividend and risk control model

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