A Free Boundary Problem of Liquidity Management for Optimal Dividend and Insurance in Finite Horizon
DOI10.1137/20M1329949zbMath1478.60131OpenAlexW3177898727MaRDI QIDQ5000635
Chonghu Guan, Xiao Shan Chen, Fa-huai Yi
Publication date: 15 July 2021
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/20m1329949
Dynamic programming in optimal control and differential games (49L20) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Existence of optimal solutions to problems involving randomness (49J55)
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Cites Work
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