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Free boundary problems arising from mathematical finance

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Dept. 경희대학교
date Apr 01, 2021

 

Many problems in financial mathematics are closely related to the stochastic optimization problem because the optimal decision must be made under the uncertainty. In particular, optimal stopping, singular control, and optimal switching problems in the stochastic optimization problem arising from financial mathematics are formulated into the free boundary problem when the uncertainty follows the Markov process. The optimal strategies to each optimization problem is determined by the free boundary. In this talk, I introduce various free boundary problems in financial mathematics.

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