Optimal asset control of the diffusion model under consideration of the time value of ruin
zbMath1343.49030MaRDI QIDQ281080
F. Blanchet-Sadri, M. Dambrine
Publication date: 10 May 2016
Published in: Bulletin of the Iranian Mathematical Society (Search for Journal in Brave)
Full work available at URL: http://bims.iranjournals.ir/article_594_70.html
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Financial applications of other theories (91G80) Existence of optimal solutions to problems involving randomness (49J55)
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