Stochastic Perron's method for the probability of lifetime ruin problem under transaction costs (Q2810052)
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scientific article; zbMATH DE number 6587746
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| English | Stochastic Perron's method for the probability of lifetime ruin problem under transaction costs |
scientific article; zbMATH DE number 6587746 |
Statements
31 May 2016
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stochastic Perron method
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singular control
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probability of lifetime ruin
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transaction costs
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Hamilton-Jacobi-Bellman variational inequality
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viscosity solutions
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comparison principle
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Stochastic Perron's method for the probability of lifetime ruin problem under transaction costs (English)
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0.7629753351211548
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0.755687952041626
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0.7535849809646606
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0.7475248575210571
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0.7442150115966797
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