A free boundary problem arising from a stochastic optimal control model under controllable risk
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Publication:907786
DOI10.1016/j.jde.2015.10.040zbMath1331.35400OpenAlexW2231089487MaRDI QIDQ907786
Publication date: 26 January 2016
Published in: Journal of Differential Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jde.2015.10.040
Stochastic models in economics (91B70) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Free boundary problems for PDEs (35R35)
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