An optimal consumption problem in finite time with a constraint on the ruin probability
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Publication:889622
Brownian motiondynamic programming principlefree boundary value problemHamilton-Jacobi-Bellman equationintegral equationoptimal consumption problemruin probabilitysingular control problemviscosity solution
Free boundary problems for PDEs (35R35) Integro-ordinary differential equations (45J05) Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Brownian motion (60J65) Dynamic programming (90C39) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
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Cited in
(20)- Distribution of bankruptcy time in a consumption/portfolio problem
- A bound on the probability of ruin in Merton's model
- The dividend problem with a finite horizon
- A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes
- Maximizing expected exponential utility of consumption with a constraint on expected time in poverty
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- Dividend corridors and a ruin constraint
- Optimal life-cycle consumption and investment decisions under age-dependent risk preferences
- Optimal dividend payments under a time of ruin constraint: exponential claims
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