Asymptotic minimization of expected time to reach a large wealth level in an asset market game

DOI10.1080/17442508.2022.2041640zbMath1528.91072arXiv2007.04909OpenAlexW3041202741MaRDI QIDQ6104945

Mikhail Zhitlukhin

Publication date: 26 June 2023

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.04909

zbMATH Keywords

martingalescrossing timesurvival strategyasset market game

Mathematics Subject Classification ID

Applications of game theory (91A80) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial markets (91G15)

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