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