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~person:"Azcue, Pablo"
~person:"Düring, Bertram"
~person:"Schuhmann, Patrick"
~subject:"Singular control"
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Azcue, Pablo
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Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem
Azcue, Pablo
;
Muler, Nora
- In:
Computational Statistics
77
(
2013
)
2
,
pp. 177-206
-differential operator and a gradient constraint. We characterize the optimal value function as the unique
viscosity
solution
of the …
Persistent link: https://www.econbiz.de/10010847475
Saved in:
2
Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem
Azcue, Pablo
;
Muler, Nora
- In:
Mathematical Methods of Operations Research
77
(
2013
)
2
,
pp. 177-206
-differential operator and a gradient constraint. We characterize the optimal value function as the unique
viscosity
solution
of the …
Persistent link: https://www.econbiz.de/10010999524
Saved in:
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