An optimal consumption problem in finite time with a constraint on the ruin probability
Year of publication: |
October 2015
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Authors: | Grandits, Peter |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 19.2015, 4, p. 791-847
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Subject: | Optimal consumption | Singular control problem | Free boundary value problem | Konsumtheorie | Consumption theory | Kontrolltheorie | Control theory | Wahrscheinlichkeitsrechnung | Probability theory | Mathematische Optimierung | Mathematical programming | Nachfragetheorie des Haushalts | Consumer demand theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection |
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