Optimal constrained investment in the Cramer-Lundberg model (Q4576860)

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scientific article; zbMATH DE number 6901169
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Optimal constrained investment in the Cramer-Lundberg model
scientific article; zbMATH DE number 6901169

    Statements

    title
    Optimal constrained investment in the Cramer-Lundberg model (English)
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    author
    Tatiana Belkina
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    Christian Hipp
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    Shangzhen Luo
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    Michael I. Taksar
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    publication date
    11 July 2018
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    zbMATH Keywords
    stochastic control
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    HJB equation
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    ruin probability
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    constrained investment
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    Cramer-Lundberg model
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    Identifiers

    Mathematics Subject Classification ID
    91B30
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    93E20
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    60J75
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    zbMATH DE Number
    6901169
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    OpenAlex ID
    W2076328141
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    arXiv ID
    1112.4007
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