A note on applications of stochastic ordering to control problems in insurance and finance
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Publication:2875271
DOI10.1080/17442508.2013.778861zbMath1314.60104arXiv1210.3800OpenAlexW2020775070MaRDI QIDQ2875271
Erhan Bayraktar, Nicole Bäuerle
Publication date: 14 August 2014
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1210.3800
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- Optimal lifetime consumption and investment under a drawdown constraint
- Comparison of Markov processes via infinitesimal generators
- Mean stochastic comparison of diffusions
- Stochastic Portfolio Theory: an Overview
- Continuous-Time Red and Black: How to Control a Diffusion to a Goal
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