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Proving regularity of the minimal probability of ruin via a game of stopping and control
Bayraktar, Erhan; Young, Virginia R. - In: Finance and stochastics 15 (2011) 4, pp. 785-818
Persistent link: https://www.econbiz.de/10009423263
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Correspondence between lifetime minimum wealth and utility of consumption
Bayraktar, Erhan; Young, Virginia R. - In: Finance and stochastics 11 (2007) 2, pp. 213-236
Persistent link: https://www.econbiz.de/10003439759
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A scaling limit for utility indifference prices in the discretised Bachelier model
Cohen, Asaf; Dolinsky, Yan - In: Finance and stochastics 26 (2022) 2, pp. 335-358
Persistent link: https://www.econbiz.de/10013197588
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Proving regularity of the minimal probability of ruin via a game of stopping and control
Bayraktar, Erhan; Young, Virginia R. - In: Finance and stochastics 15 (2011) 4, pp. 785-819
Persistent link: https://www.econbiz.de/10009805453
Cover Image
Correspondence between lifetime minimum wealth and utility of consumption
Bayraktar, Erhan; Young, Virginia R. - In: Finance and stochastics 11 (2007) 2, pp. 213-236
Persistent link: https://www.econbiz.de/10008222020