Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem

DOI10.1007/s00186-012-0424-3zbMath1269.49041OpenAlexW2075410831MaRDI QIDQ2392787

Nora Muler, Pablo Azcue

Publication date: 2 August 2013

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-012-0424-3

zbMATH Keywords

Hamilton-Jacobi-Bellman equationoptimal strategyviscosity solutioninsurance companyruin probabilitycompound Poisson processsingular control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimality conditions for problems involving randomness (49K45)

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