Different topological solution structures in a two-dimensional controlled ruin problem depending on the optimization criterion

DOI10.1080/17442508.2023.2284194MaRDI QIDQ6647802zbMATH OpenFDO

Authors Peter Grandits, Maike Klein

Publication date 3 December 2024

Published in Stochastics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/17442508.2023.2284194

Mathematics Subject Classification ID

Existence theories for optimal control problems involving partial differential equations (49J20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Actuarial mathematics (91G05) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

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Cited in

(2)

• On the joint survival probability of two collaborating firms
• Ruin probabilities in a two-dimensional setting and the Drasin–Shea Theorem

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