Abstract
A one-dimensional free terminal time optimal control problem stemming from mathematical finance is studied. To find the optimal solution and prove its optimality the standard maximum principle procedure including Arrow’s sufficiency theorem is combined with specific properties of the problem. Certain unexpected features of the solution are pointed out and discussed.
Dedicated to Vladimir Veliov on the occasion of his 65th birthday.
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- 1.
Because there is no need of the assumption ρ > 0 in the deterministic problem, we ignore it in the sequel.
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Acknowledgements
The authors are thankful to the anonymous referee for enlightening comments. Research of the second author has been supported by VEGA Grants 1/0780/15 and 01/0062/18.
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Brunovský, P., Halická, M., Mitas, M. (2018). The Deterministic Optimal Liquidation Problem. In: Feichtinger, G., Kovacevic, R., Tragler, G. (eds) Control Systems and Mathematical Methods in Economics. Lecture Notes in Economics and Mathematical Systems, vol 687. Springer, Cham. https://doi.org/10.1007/978-3-319-75169-6_13
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DOI: https://doi.org/10.1007/978-3-319-75169-6_13
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