An optimal consumption problem in finite time with a constraint on the ruin probability
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00780-015-0275-x.pdf
Reference29 articles.
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3. Bayraktar, E., Young, V.: Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin. Finance Res. Lett. 5, 204–212 (2008)
4. Beneš, V.E., Shepp, L.A., Witsenhausen, H.S.: Some solvable stochastic control problems. Stochastics 4, 39–83 (1980)
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