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

Finance and Stochastics

Volumn 15, Issue 4, 2011, Pages 785-818

  Bayraktar, Erhan ^a   Young, Virginia R ^a  

^a UNIVERSITY OF MICHIGAN   (United States)

Author keywords

Hamilton Jacobi Bellman equation; Optimal investment; Optimal stopping; Probability of lifetime ruin; Stochastic games; Variational inequality; Viscosity solution

Indexed keywords

EID: 82255186343     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-011-0160-1     Document Type: Article

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