Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion-Reference-Cited by-同舟云学术

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Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion

Published:2015-01 Issue:1 Volume:53 Page:58-90
ISSN:0363-0129
Container-title:SIAM Journal on Control and Optimization
language:en
Short-container-title:SIAM J. Control Optim.

Author:

Bayraktar Erhan,Zhang Yuchong

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Control and Optimization

Link

http://epubs.siam.org/doi/pdf/10.1137/140955999

Reference34 articles.

1. Convex viscosity solutions and state constraints

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

3. Minimizing the probability of lifetime ruin under stochastic volatility

4. A Weak Dynamic Programming Principle for Zero-Sum Stochastic Differential Games with Unbounded Controls

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