ON A FREE BOUNDARY PROBLEM FOR AN OPTIMAL INVESTMENT PROBLEM WITH DIFFERENT INTEREST RATES

被引：0

作者：

Guan, Chonghu ^{[1
]}

机构：

[1] Jiaying Univ, Sch Math, Meizhou 514015, Peoples R China

来源：

COMMUNICATIONS IN MATHEMATICAL SCIENCES | 2020年 / 18卷 / 01期

关键词：

fully nonlinear equation; free boundary lines; stochastic optimal control; optimal investment; different interest rates; LIFETIME PORTFOLIO SELECTION; CONSUMPTION MODEL;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper discusses an investment problem for a single agent with higher borrowing interest rate than lending in the market. The objective is to maximize the expected discounted utility of terminal wealth by choosing portfolio of one risk asset and the bank account. The objective function is the solution of a free boundary problem with two nonlinear equations and one linear equation. The main contribution is that the existence of free boundary lines is proved in all situations and the design methods can be generally applied to other similar problems.

引用

页码：31 / 54

页数：24

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