Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/16650
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dc.titleTwo free boundary problems in optimal investment
dc.contributor.authorZHONG YIFEI
dc.date.accessioned2010-04-08T11:07:30Z
dc.date.available2010-04-08T11:07:30Z
dc.date.issued2009-02-12
dc.identifier.citationZHONG YIFEI (2009-02-12). Two free boundary problems in optimal investment. ScholarBank@NUS Repository.
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/16650
dc.description.abstractWe have considered two free boundary problems in optimal investment. Problem I is concerned with the optimal decision to sell or buy a stock in a given period with reference to the ultimate average of the stock price. This is an optimal stopping time problem which can be formulated as a variational inequality problem. We provide a partial differential equation (PDE) approach to study the optimal strategy. Problem II concerns numerical solutions for the continuous-time portfolio selection with proportional transaction costs which is described as a singular stochastic control problem. The associated value function is governed by a variational inequality with gradient constraints. We propose a penalty method to deal with the gradient constraints and then employ the finite difference discretization.
dc.language.isoen
dc.subjectOptimal stopping, Singular control, Penalty Method
dc.typeThesis
dc.contributor.departmentMATHEMATICS
dc.contributor.supervisorDAI MIN
dc.description.degreeMaster's
dc.description.degreeconferredMASTER OF SCIENCE
dc.identifier.isiutNOT_IN_WOS
Appears in Collections:Master's Theses (Open)

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