A note on applications of stochastic ordering to control problems in insurance and finance-Reference-Cited by-同舟云学术

A note on applications of stochastic ordering to control problems in insurance and finance

Published:2013-03-26 Issue:2 Volume:86 Page:330-340
ISSN:1744-2508
Container-title:Stochastics
language:en
Short-container-title:Stochastics

Author:

Bäuerle Nicole¹,Bayraktar Erhan²

Affiliation:

1. Department of Mathematics, Karlsruhe Institute of Technology, D-76128Karlsruhe, Germany

2. Department of Mathematics, University of Michigan, 530 Church Street, Ann Arbor, MI48109, USA

Publisher

Informa UK Limited

Subject

Modeling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/17442508.2013.778861

Reference11 articles.

1. L.E.Dubins and L.J.Savage, How to Gamble if You Must. Inequalities for Stochastic Processes, McGraw-Hill Book Co., New York, 1965.

2. Optimal lifetime consumption and investment under a drawdown constraint

3. Stochastic Portfolio Theory: an Overview

4. Mean stochastic comparison of diffusions

5. I.Karatzas and S.E.Shreve, Brownian motion and stochastic calculus, Graduate Texts in Mathematics, 2nd ed., Vol. 113, Springer-Verlag, New York, 1991.

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