Proving regularity of the minimal probability of ruin via a game of stopping and control (Q484214): Difference between revisions

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Latest revision as of 10:58, 9 July 2024

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Proving regularity of the minimal probability of ruin via a game of stopping and control
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    Proving regularity of the minimal probability of ruin via a game of stopping and control (English)
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    18 December 2014
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    probability of lifetime ruin
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    stochastic games
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    optimal stopping
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    optimal investment
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    viscosity solution
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    Hamilton-Jacobi-Bellman equation
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    variational inequality
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