A bound on the probability of ruin in Merton's model

DOI10.1007/S10598-017-9370-5zbMATH Open1380.91126OpenAlexW2725683431MaRDI QIDQ1695461FDOQ1695461

Authors: V. V. Morozov, V. A. Babin 

Publication date: 7 February 2018

Published in: Computational Mathematics and Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10598-017-9370-5

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zbMATH Keywords

optimal consumptiongeometrical Brownian motionMerton's modelruin probability bound

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10) Financial applications of other theories (91G80)

Cites Work

• Stochastic differential equations. An introduction with applications.
• Optimum consumption and portfolio rules in a continuous-time model
• Martingale methods in problems on boundary intersections of Brownian motions
• Twenty lectures about Gaussian processes
• Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients
• A note on Merton's ``Optimum consumption and portfolio rules in a continuous-time model

Cited In (1)

• Utilities bounded below

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