An optimal consumption problem in finite time with a constraint on the ruin probability (Q889622)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An optimal consumption problem in finite time with a constraint on the ruin probability |
scientific article |
Statements
An optimal consumption problem in finite time with a constraint on the ruin probability (English)
0 references
9 November 2015
0 references
optimal consumption problem
0 references
ruin probability
0 references
singular control problem
0 references
Brownian motion
0 references
Hamilton-Jacobi-Bellman equation
0 references
viscosity solution
0 references
dynamic programming principle
0 references
integral equation
0 references
free boundary value problem
0 references
0 references
