Ruin probability in a two-dimensional model with correlated Brownian motions

Peter Grandits and Maike Klein

Year of publication:	2021
Authors:	Grandits, Peter ; Klein, Maike
Subject:	35R35 \| collaboration \| correlated Brownian motions \| optimal control problem \| Primary 49J20 \| Ruin probabilities \| Secondary 91B70 \| two-dimensional Brownian motion \| Stochastischer Prozess \| Stochastic process \| Wahrscheinlichkeitsrechnung \| Probability theory \| Korrelation \| Correlation \| Kontrolltheorie \| Control theory

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