Asymptotic ruin probabilities and optimal investment
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Publication:1425485
DOI10.1214/aoap/1060202834zbMath1046.62113OpenAlexW2151952891MaRDI QIDQ1425485
Peter Grandits, Johanna Gaier, Walter Schachermayer
Publication date: 21 March 2004
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1060202834
Applications of statistics to actuarial sciences and financial mathematics (62P05) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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Cites Work
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