Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
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Publication:4881518
DOI10.1287/moor.20.4.937zbMath0846.90012OpenAlexW2171169470MaRDI QIDQ4881518
Publication date: 15 July 1996
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/3982ae7a8a1f182f07cd45e6ba7a31e3f0fa4a21
Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Portfolio theory (91G10)
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