Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion

DOI10.1137/140955999zbMath1343.49028arXiv1402.1809OpenAlexW3121892982MaRDI QIDQ2810051

Yuchong Zhang, Erhan Bayraktar

Publication date: 31 May 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1402.1809

zbMATH Keywords

regularityPerron's methodviscosity solutionsambiguity aversionprobability of lifetime ruindrift uncertainty

Mathematics Subject Classification ID

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