Existence and asymptotic behavior of an optimal barrier for an optimal consumption problem in a Brownian model with absorption and finite time horizon

DOI10.1007/s00245-013-9223-3zbMath1297.93185OpenAlexW1991446260MaRDI QIDQ742535

Peter Grandits

Publication date: 18 September 2014

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-013-9223-3

zbMATH Keywords

optimal consumptionfree boundary value problemsingular control problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Consumer behavior, demand theory (91B42)

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