Bankruptcy and expected utility maximization

DOI10.1016/0165-1889(94)90022-1zbMath0875.90032OpenAlexW2017070537MaRDI QIDQ5894584

Prajit K. Dutta

Publication date: 27 February 1997

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(94)90022-1

zbMATH Keywords

Expected utilityBankruptcyGambler's ruin

Mathematics Subject Classification ID

Utility theory (91B16) Probabilistic games; gambling (91A60)

Cites Work

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• Traditional proof of Bellman's equation for controlled diffusion processes
• A law of large numbers in the theory of consumer's choice under uncertainty
• Some results on An income fluctuation problem
• Linear models of economic survival under production uncertainty
• Continuous-Time Red and Black: How to Control a Diffusion to a Goal
• Reaching Zero Rapidly
• Controlling a Process to a Goal in Finite Time
• Minimizing or Maximizing the Expected Time to Reach Zero

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