Investment, consumption and hedging with lump-sum payoff in finite horizon under incomplete market

DOI10.1080/00036811.2013.787415zbMath1296.91247OpenAlexW2006983246WikidataQ58143167 ScholiaQ58143167MaRDI QIDQ5417859

Xiao Shan Chen, Fa-huai Yi

Publication date: 22 May 2014

Published in: Applicable Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00036811.2013.787415

zbMATH Keywords

free boundary problemincomplete marketfinite horizoninvestment and consumptionlump-sum payoff

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Free boundary problems for PDEs (35R35) Portfolio theory (91G10)

Cites Work

• Parabolic variational inequalities in one space dimension and smoothness of the free boundary

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