[1]
|
BACHELIER L. Théorie de la spéculation[M]. Paris:Gauthier-Villars, 1900.
|
[2]
|
BLACK F, SCHOLES M. The pricing of options and corporate liabilities[J]. Journal of Political Economy, 1973, 81:637-654. doi: 10.1086/260062
|
[3]
|
MERTON R C. Optimum consumption and portfolio rules in a continuous-time model[J]. Journal of EconomicTheory, 1971, 3(4):373-413.
|
[4]
|
TAKSAR M I. Optimal risk and dividend distribution control models for an insurance company[J]. MathematicalMethods of Operations Research, 2000, 51(1):1-42.
|
[5]
|
GUAN C H, YI F H. A free boundary problem arising from a stochastic optimal control model with boundeddividend rate[J]. Stochastic Analysis and Applications, 2014, 32(5):742-760. doi: 10.1080/07362994.2014.922778
|
[6]
|
GUAN C H, YI F H. A free boundary problem arising from a stochastic optimal control model under controllablerisk[J]. Journal of Differential Equations, 2016, 260(6):4845-4870. doi: 10.1016/j.jde.2015.10.040
|
[7]
|
CHEN X S, CHEN Y S, YI F H. Parabolic variational inequality with parameter and gradient constraints[J]. Journal of Mathematical Analysis and Applications, 2012, 385(2):928-946. doi: 10.1016/j.jmaa.2011.07.025
|
[8]
|
CHEN X S, YI F H. A problem of singular stochastic control with optimal stopping in finite horizon[J]. SIAMJournal on Control and Optimization, 2012, 50(4):2151-2172. doi: 10.1137/110832264
|
[9]
|
CHEN X S, YI F H. Free boundary problem of Barenblatt equation in stochastic control[J]. Discrete andContinuous Dynamical Systems, 2016, 21B(5):1421-1434. http://or.nsfc.gov.cn/bitstream/00001903-5/353599/1/1000008685804.pdf
|
[10]
|
DAI M, YI F H. Finite-horizon optimal investment with transaction costs:A parabolic double obstacle problem[J]. Journal of Differential Equations, 2009, 246(4):1445-1469. doi: 10.1016/j.jde.2008.11.003
|
[11]
|
PHAM H. Continuous-Time Stochastic Control and Optimization with Financial Applications[M]. New York:Springer Science & Business Media, 2009.
|
[12]
|
GILBARG D, TRUDINGER N S. Elliptic Partial Differential Equations of Second Order[M]. New York:Springer, 2015.
|
[13]
|
LADYZHENSKAIA O A, SOLONNIKOV V A, URAL'TSEVA N N. Linear and Quasi-Linear Equations of Parabolic Type[M]. Providence, RI:American Mathematical Soc, 1988.
|
[14]
|
OLEINIK O. Second-Order Equations with Nonnegative Characteristic Form[M]. New York:Springer Science & Business Media, 2012.
|
[15]
|
FRIEDMAN A. Parabolic variational inequalities in one space dimension and smoothness of the free boundary[J]. Journal of Functional Analysis, 1975, 18(2):151-176. doi: 10.1016/0022-1236(75)90022-1
|