Minimizing the probability of lifetime drawdown under constant consumption (Q343998)
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scientific article; zbMATH DE number 6654911
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Minimizing the probability of lifetime drawdown under constant consumption |
scientific article; zbMATH DE number 6654911 |
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Minimizing the probability of lifetime drawdown under constant consumption (English)
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21 November 2016
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optimal investment
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stochastic optimal control
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probability of drawdown
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optimal controller-stopper problem
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duality argument
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free-boundary problem
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