Different topological solution structures in a two-dimensional controlled ruin problem depending on the optimization criterion

DOI10.1080/17442508.2023.2284194MaRDI QIDQ6647802

Publication date: 3 December 2024

Published in: Stochastics (Search for Journal in Brave)

Numerical methods (including Monte Carlo methods) (91G60) Existence theories for optimal control problems involving partial differential equations (49J20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Actuarial mathematics (91G05)

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