Free boundary problem for an optimal investment problem with a borrowing constraint
نویسندگان
چکیده
This paper considers an optimal investment problem under CRRA utility with a borrowing constraint. We formulate it into free boundary consisting of fully nonlinear equation and linear equation. prove the existence uniqueness classical solution present condition for constraint on rate. Furthermore, we that is continuous smooth when relative risk aversion coefficient sufficiently small.
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ژورنال
عنوان ژورنال: Journal of Industrial and Management Optimization
سال: 2021
ISSN: ['1547-5816', '1553-166X']
DOI: https://doi.org/10.3934/jimo.2021049