Proving regularity of the minimal probability of ruin via a game of stopping and control

DOI10.1007/S00780-011-0160-1zbMath1303.91196arXiv0704.2244OpenAlexW2126052021MaRDI QIDQ484214

Erhan Bayraktar, Virginia R. Young

Publication date: 18 December 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0704.2244

zbMATH Keywords

Hamilton-Jacobi-Bellman equationvariational inequalityviscosity solutionoptimal stoppingstochastic gamesoptimal investmentprobability of lifetime ruin

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15)

Related Items (14)

Optimal harvesting under marine reserves and uncertain environment ⋮ Minimizing the probability of lifetime drawdown under constant consumption ⋮ Nonzero-sum stochastic differential game between controller and stopper for jump diffusions ⋮ Nonzero-sum stochastic differential games between an impulse controller and a stopper ⋮ Minimizing the probability of lifetime ruin under stochastic volatility ⋮ Games of singular control and stopping driven by spectrally one-sided Lévy processes ⋮ Gambling for resurrection and the heat equation on a triangle ⋮ Risk sensitive control of the lifetime ruin problem ⋮ A zero-sum game between a singular stochastic controller and a discretionary stopper ⋮ LIFETIME CONSUMPTION AND INVESTMENT FOR WORST-CASE CRASH SCENARIOS ⋮ A SIMPLE AND NEARLY OPTIMAL INVESTMENT STRATEGY TO MINIMIZE THE PROBABILITY OF LIFETIME RUIN ⋮ Minimizing the Probability of Lifetime Ruin under Random Consumption ⋮ Minimizing the Probability of Ruin When Consumption is Ratcheted ⋮ Relative Hedging of Systematic Mortality Risk

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