Stochastic Perron's Method for the Probability of Lifetime Ruin Problem Under Transaction Costs

DOI10.1137/140967052zbMath1343.93094arXiv1404.7406OpenAlexW3122516375MaRDI QIDQ2810052

Yuchong Zhang, Erhan Bayraktar

Publication date: 31 May 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.7406

zbMATH Keywords

comparison principletransaction costsviscosity solutionssingular controlstochastic Perron methodHamilton-Jacobi-Bellman variational inequalityprobability of lifetime ruin

Mathematics Subject Classification ID

Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Martingales and classical analysis (60G46) Existence of optimal solutions to problems involving randomness (49J55) Viscosity solutions to PDEs (35D40) PDEs in connection with control and optimization (35Q93)

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