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Proving Regularity of the Minimal Probability of Ruin Via a Game of Stopping and Control

Bayraktar, Erhan - 2016

We reveal an interesting convex duality relationship between two problems: (a) minimizing the probability of lifetime ruin when the rate of consumption is stochastic and when the individual can invest in a Black-Scholes financial market; (b) a controller-and-stopper problem, in which the...

Persistent link: https://www.econbiz.de/10012990971