Optimal control problems for stochastic processes with absorbing regime
Optimization and Control
2023-05-03 v1 Mathematical Finance
Abstract
In this paper we formulate and solve an optimal problem for Stochastic process with a regime absorbing state. The solution for this problem is obtained through a system of partial differential equations. The method is applied to obtain an explicit solution for the Merton portfolio problem when an asset has a default probability in case of a log utility.
Keywords
Cite
@article{arxiv.2305.01490,
title = {Optimal control problems for stochastic processes with absorbing regime},
author = {yaacov Kopeliovich},
journal= {arXiv preprint arXiv:2305.01490},
year = {2023}
}
Comments
7 pages