A Ruin Problem for a Two-Dimensional Brownian Motion with Controllable Drift in the Positive Quadrant

DOI10.1137/S0040585X97T989763zbMath1450.91033OpenAlexW2981505389MaRDI QIDQ5216297

Peter Grandits

Publication date: 17 February 2020

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://epubs.siam.org/doi/pdf/10.1137/S0040585X97T989763

zbMATH Keywords

optimal control problemfree boundary problemsruin probabilitiesatlas model

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (4)

Some global topological properties of a free boundary problem appearing in a two dimensional controlled ruin problem ⋮ An Alexandrov-Bakelman-Pucci estimate for an anisotropic Laplacian with positive drift in unbounded domains ⋮ A tale of two (and more) altruists ⋮ Ruin probability in a two-dimensional model with correlated Brownian motions

Cites Work

• The maximum principle
• Continuous-time stochastic control and optimization with financial applications
• Elliptic partial differential equations of second order
• Optimal surviving strategy for drifted Brownian motions with absorption
• One-dimensional Brownian particle systems with rank-dependent drifts
• Atlas models of equity markets
• On the Criteria for Existence of a Strong Solution of a Stochastic Equation
• SOME NEW RESULTS IN THE THEORY OF CONTROLLED DIFFUSION PROCESSES
• The advantage of capitalism vs. socialism depends on the criterion
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