Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/93822
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dc.contributorDepartment of Applied Mathematicsen_US
dc.creatorGuan, Cen_US
dc.creatorLi, Xen_US
dc.creatorZhou, Ren_US
dc.creatorZhou, Wen_US
dc.date.accessioned2022-08-01T06:00:21Z-
dc.date.available2022-08-01T06:00:21Z-
dc.identifier.issn1553-166Xen_US
dc.identifier.urihttp://hdl.handle.net/10397/93822-
dc.language.isoenen_US
dc.publisherAmerican Institute of Mathematical Sciencesen_US
dc.rightsThis is an Open Access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).en_US
dc.rightsThe following publication Guan, C., Li, X., Zhou, R., & Zhou, W. (2022). Free boundary problem for an optimal investment problem with a borrowing constraint. Journal of Industrial and Management Optimization, 18(3), 1915 is available at https://doi.org/10.3934/jimo.2021049.en_US
dc.subjectBorrowing constrainten_US
dc.subjectCRRA utilityen_US
dc.subjectFree boundary problemen_US
dc.subjectOptimal investmenten_US
dc.subjectStochastic optimal controlen_US
dc.titleFree boundary problem for an optimal investment problem with a borrowing constrainten_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage1915en_US
dc.identifier.epage1934en_US
dc.identifier.volume18en_US
dc.identifier.issue3en_US
dc.identifier.doi10.3934/jimo.2021049en_US
dcterms.abstractThis paper considers an optimal investment problem under CRRA utility with a borrowing constraint. We formulate it into a free boundary problem consisting of a fully nonlinear equation and a linear equation. We prove the existence and uniqueness of the classical solution and present the condition for the existence of the free boundary under a linear constraint on a borrowing rate. Furthermore, we prove that the free boundary is continuous and smooth when the relative risk aversion coefficient is sufficiently small.en_US
dcterms.accessRightsopen accessen_US
dcterms.bibliographicCitationJournal of industrial and management optimization, May 2022, v. 18, no. 3, p. 1915-1934en_US
dcterms.isPartOfJournal of industrial and management optimizationen_US
dcterms.issued2022-05-
dc.identifier.scopus2-s2.0-85129572229-
dc.identifier.eissn1547-5816en_US
dc.description.validate202208_bcwwen_US
dc.description.oaVersion of Recorden_US
dc.identifier.FolderNumberOA_Others-
dc.description.fundingSourceRGCen_US
dc.description.fundingSourceOthersen_US
dc.description.fundingTextNNSF of China; Universities and Colleges Special Innovation Project of Guangdong Provinceen_US
dc.description.pubStatusPublisheden_US
dc.description.TAAIMS (2022)en_US
dc.description.oaCategoryTAen_US
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