Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/93822
DC Field | Value | Language |
---|---|---|
dc.contributor | Department of Applied Mathematics | en_US |
dc.creator | Guan, C | en_US |
dc.creator | Li, X | en_US |
dc.creator | Zhou, R | en_US |
dc.creator | Zhou, W | en_US |
dc.date.accessioned | 2022-08-01T06:00:21Z | - |
dc.date.available | 2022-08-01T06:00:21Z | - |
dc.identifier.issn | 1553-166X | en_US |
dc.identifier.uri | http://hdl.handle.net/10397/93822 | - |
dc.language.iso | en | en_US |
dc.publisher | American Institute of Mathematical Sciences | en_US |
dc.rights | This is an Open Access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/). | en_US |
dc.rights | The 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.subject | Borrowing constraint | en_US |
dc.subject | CRRA utility | en_US |
dc.subject | Free boundary problem | en_US |
dc.subject | Optimal investment | en_US |
dc.subject | Stochastic optimal control | en_US |
dc.title | Free boundary problem for an optimal investment problem with a borrowing constraint | en_US |
dc.type | Journal/Magazine Article | en_US |
dc.identifier.spage | 1915 | en_US |
dc.identifier.epage | 1934 | en_US |
dc.identifier.volume | 18 | en_US |
dc.identifier.issue | 3 | en_US |
dc.identifier.doi | 10.3934/jimo.2021049 | en_US |
dcterms.abstract | This 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.accessRights | open access | en_US |
dcterms.bibliographicCitation | Journal of industrial and management optimization, May 2022, v. 18, no. 3, p. 1915-1934 | en_US |
dcterms.isPartOf | Journal of industrial and management optimization | en_US |
dcterms.issued | 2022-05 | - |
dc.identifier.scopus | 2-s2.0-85129572229 | - |
dc.identifier.eissn | 1547-5816 | en_US |
dc.description.validate | 202208_bcww | en_US |
dc.description.oa | Version of Record | en_US |
dc.identifier.FolderNumber | OA_Others | - |
dc.description.fundingSource | RGC | en_US |
dc.description.fundingSource | Others | en_US |
dc.description.fundingText | NNSF of China; Universities and Colleges Special Innovation Project of Guangdong Province | en_US |
dc.description.pubStatus | Published | en_US |
dc.description.TA | AIMS (2022) | en_US |
dc.description.oaCategory | TA | en_US |
Appears in Collections: | Journal/Magazine Article |
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File | Description | Size | Format | |
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Guan_Free_Boundary_Problem_.pdf | 442.24 kB | Adobe PDF | View/Open |
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