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 |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10009400202