Proving regularity of the minimal probability of ruin via a game of stopping and control
Year of publication: |
2011
|
---|---|
Authors: | Bayraktar, Erhan ; Young, Virginia |
Published in: |
Finance and Stochastics. - Springer. - Vol. 15.2011, 4, p. 785-818
|
Publisher: |
Springer |
Subject: | Probability of lifetime ruin | Stochastic games | Optimal stopping | Optimal investment | Viscosity solution | Hamilton–Jacobi–Bellman equation | Variational inequality |
-
A simple and nearly optimal investment strategy to minimize the probability of lifetime ruin
Liang, Xiaoqing, (2022)
-
Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem
Azcue, Pablo, (2013)
-
Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem
Azcue, Pablo, (2013)
- More ...
-
Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities
Bayraktar, Erhan, (2008)
-
Correspondence between lifetime minimum wealth and utility of consumption
Bayraktar, Erhan, (2007)
-
Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
Bayraktar, Erhan, (2008)
- More ...