On optimal investment and subexponential claims (Q2483945)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On optimal investment and subexponential claims |
scientific article |
Statements
On optimal investment and subexponential claims (English)
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1 August 2005
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Ruin probability
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Regular variation
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Optimal control
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Geometric Brownian motion
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Hamilton-Jacobi-Bellman equation
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