Portfolio problems stopping at first hitting time with application to default risk

DOI10.1007/s00186-005-0026-4zbMath1136.91452OpenAlexW3122089963MaRDI QIDQ2500790

Mogens Steffensen, Holger Kraft

Publication date: 18 August 2006

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

Full work available at URL: https://doi.org/10.1007/s00186-005-0026-4

zbMATH Keywords

Feynman-Kac representationBarrier optionsOptimal consumption and investmentRandom time horizon

Mathematics Subject Classification ID

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