An optimal consumption problem in finite time with a constraint on the ruin probability
type: Item
instance of: scholarly article
title: An optimal consumption problem in finite time with a constraint on the ruin probability
zbMATH Open document ID: 1328.49016
author: Peter Grandits
published in: Finance and Stochastics
publication date: 2015-11-09T00:00:00Z
Mathematics Subject Classification ID: 49J55
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 49L20
Mathematics Subject Classification ID: 49L25
Mathematics Subject Classification ID: 90C39
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 45J05
Mathematics Subject Classification ID: 35R35
zbMATH DE Number: 6505829
zbMATH Keywords: optimal consumption problem
zbMATH Keywords: ruin probability
zbMATH Keywords: singular control problem
zbMATH Keywords: Brownian motion
zbMATH Keywords: Hamilton-Jacobi-Bellman equation
zbMATH Keywords: viscosity solution
zbMATH Keywords: dynamic programming principle
zbMATH Keywords: integral equation
zbMATH Keywords: free boundary value problem
MaRDI profile type: Publication
full work available at URL: s00780-015-0275-x
OpenAlex ID: W1660557123
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DOI: 10.1007/S00780-015-0275-X
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description: scientific article; zbMATH DE number 6505829