Optimal constrained investment in the Cramer-Lundberg model (Q4576860)
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scientific article; zbMATH DE number 6901169
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| English | Optimal constrained investment in the Cramer-Lundberg model |
scientific article; zbMATH DE number 6901169 |
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Optimal constrained investment in the Cramer-Lundberg model (English)
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11 July 2018
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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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0.8701682686805725
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0.8216469883918762
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0.814708948135376
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0.8121360540390015
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0.8107322454452515
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