An optimal consumption problem in finite time with a constraint on the ruin probability (Q889622)
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scientific article; zbMATH DE number 6505829
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| English | An optimal consumption problem in finite time with a constraint on the ruin probability |
scientific article; zbMATH DE number 6505829 |
Statements
An optimal consumption problem in finite time with a constraint on the ruin probability (English)
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9 November 2015
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optimal consumption problem
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ruin probability
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singular control problem
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Brownian motion
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Hamilton-Jacobi-Bellman equation
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viscosity solution
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dynamic programming principle
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integral equation
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free boundary value problem
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0.9189573
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0.8994145
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0.89132595
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0.8899701
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0.88733745
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0.88117355
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0.87929094
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0.87877584
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