Proving regularity of the minimal probability of ruin via a game of stopping and control (Q484214)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Proving regularity of the minimal probability of ruin via a game of stopping and control |
scientific article |
Statements
Proving regularity of the minimal probability of ruin via a game of stopping and control (English)
0 references
18 December 2014
0 references
probability of lifetime ruin
0 references
stochastic games
0 references
optimal stopping
0 references
optimal investment
0 references
viscosity solution
0 references
Hamilton-Jacobi-Bellman equation
0 references
variational inequality
0 references
