Maximizing a robust goal-reaching probability with penalization on ambiguity
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Publication:1757373
DOI10.1016/j.cam.2018.08.049zbMath1418.91248OpenAlexW2891669956MaRDI QIDQ1757373
Wei Zhu, Shangzhen Luo, Ming-Ming Wang
Publication date: 4 January 2019
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2018.08.049
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Related Items (8)
Robust optimal asset-liability management with penalization on ambiguity ⋮ Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market ⋮ Robust optimal investment and reinsurance to minimize a goal-reaching probability with constrained control variables ⋮ Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle ⋮ Minimizing the probability of absolute ruin under ambiguity aversion ⋮ REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE ⋮ Robust optimal reinsurance in minimizing the penalized expected time to reach a goal ⋮ Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations
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