Optimal investment strategy to minimize occupation time

DOI10.1007/s10479-008-0467-2zbMath1233.91235arXiv0805.3981OpenAlexW1967542662MaRDI QIDQ993736

Erhan Bayraktar, Virginia R. Young

Publication date: 20 September 2010

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

Full work available at URL: https://arxiv.org/abs/0805.3981

zbMATH Keywords

stochastic controloccupation timefree-boundary problemoptimal investment

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Free boundary problems for PDEs (35R35) Portfolio theory (91G10)

Related Items (10)

Minimizing lifetime poverty with a penalty for bankruptcy ⋮ Optimal reinsurance: minimize the expected time to reach a goal ⋮ Minimizing the lifetime ruin under borrowing and short-selling constraints ⋮ Approximations of non-smooth integral type functionals of one dimensional diffusion processes ⋮ On the area in the red of Lévy risk processes and related quantities ⋮ A new stopping time model: a solution to a free-boundary problem ⋮ Gambling for resurrection and the heat equation on a triangle ⋮ Risk sensitive control of the lifetime ruin problem ⋮ Forward dynamic utility functions: a new model and new results ⋮ Minimizing the probability of lifetime exponential Parisian ruin

Cites Work

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• ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
• THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES
• On a formula of Takács for Brownian motion with drift

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