A bound on the probability of ruin in Merton's model

DOI10.1007/S10598-017-9370-5zbMath1380.91126OpenAlexW2725683431MaRDI QIDQ1695461

V. A. Babin, V. V. Morozov

Publication date: 7 February 2018

Published in: Computational Mathematics and Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10598-017-9370-5

zbMATH Keywords

optimal consumptiongeometrical Brownian motionMerton's modelruin probability bound

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• A note on Merton's ``Optimum consumption and portfolio rules in a continuous-time model
• Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients
• Stochastic differential equations. An introduction with applications.

This page was built for publication: A bound on the probability of ruin in Merton's model