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Maximizing the goal-reaching probability before drawdown with borrowing constraint - MaRDI portal

Maximizing the goal-reaching probability before drawdown with borrowing constraint (Q2130910)

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scientific article
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Maximizing the goal-reaching probability before drawdown with borrowing constraint
scientific article

    Statements

    title
    Maximizing the goal-reaching probability before drawdown with borrowing constraint (English)
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    publication date
    25 April 2022
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    zbMATH Keywords
    optimal investment
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    borrowing constraint
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    support function
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    stochastic optimal control
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    goal-reaching probability before drawdown
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    author
    Y. Yuan
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    Qi-Cai Li
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    49L20
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    60H30
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    93E20
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    zbMATH DE Number
    7513725
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    OpenAlex ID
    W3173097705
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    DOI
    10.3934/MATH.2021514
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