Proving regularity of the minimal probability of ruin via a game of stopping and control
Erhan Bayraktar; Virginia R. Young
| Year of publication: |
2011
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|---|---|
| Authors: | Bayraktar, Erhan ; Young, Virginia R. |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 15.2011, 4, p. 785-818
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| Subject: | Hamilton-Jacobi-Bellman-Gleichung | Stochastisches Spiel | Stochastic game | Suchtheorie | Search theory | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009423263