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

DOI10.1007/S10598-017-9370-5MaRDI QIDQ1695461zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

Cited in

(1)

• Utilities bounded below

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