Proving regularity of the minimal probability of ruin via a game of stopping and control
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DOI: 10.1007/s00780-011-0160-1
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- Erhan Bayraktar & Virginia R. Young, 2007. "Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control," Papers 0704.2244, arXiv.org, revised Aug 2010.
References listed on IDEAS
- Browne, S., 1995. "Optimal Investment Policies for a Firm with a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin," Papers 95-08, Columbia - Graduate School of Business.
- Virginia Young, 2004. "Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin," North American Actuarial Journal, Taylor & Francis Journals, vol. 8(4), pages 106-126.
- Moshe A. Milevsky & Kristen S. Moore & Virginia R. Young, 2006. "Asset Allocation And Annuity‐Purchase Strategies To Minimize The Probability Of Financial Ruin," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 647-671, October.
- Bayraktar, Erhan & Young, Virginia R., 2007.
"Minimizing the probability of lifetime ruin under borrowing constraints,"
Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 196-221, July.
- Erhan Bayraktar & Virginia R. Young, 2007. "Minimizing the Probability of Lifetime Ruin under Borrowing Constraints," Papers math/0703850, arXiv.org.
- Milevsky, Moshe Arye & Ho, Kwok & Robinson, Chris, 1997. "Asset Allocation via the Conditional First Exit Time or How to Avoid Outliving Your Money," Review of Quantitative Finance and Accounting, Springer, vol. 9(1), pages 53-70, July.
- Sid Browne, 1995. "Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin," Mathematics of Operations Research, INFORMS, vol. 20(4), pages 937-958, November.
- Moshe Milevsky & Chris Robinson, 2000. "Self-Annuitization and Ruin in Retirement," North American Actuarial Journal, Taylor & Francis Journals, vol. 4(4), pages 112-124.
- Bayraktar, Erhan & Young, Virginia R., 2008.
"Mutual fund theorems when minimizing the probability of lifetime ruin,"
Finance Research Letters, Elsevier, vol. 5(2), pages 69-78, June.
- Erhan Bayraktar & Virginia R. Young, 2007. "Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin," Papers 0705.0053, arXiv.org, revised Mar 2008.
- Darrell Duffie & Thaleia Zariphopoulou, 1993. "Optimal Investment With Undiversifiable Income Risk," Mathematical Finance, Wiley Blackwell, vol. 3(2), pages 135-148, April.
- Erhan Bayraktar & Virginia Young, 2007.
"Correspondence between lifetime minimum wealth and utility of consumption,"
Finance and Stochastics, Springer, vol. 11(2), pages 213-236, April.
- Erhan Bayraktar & Virginia R. Young, 2007. "Correspondence between Lifetime Minimum Wealth and Utility of Consumption," Papers math/0703820, arXiv.org.
- Duffie, Darrell & Fleming, Wendell & Soner, H. Mete & Zariphopoulou, Thaleia, 1997. "Hedging in incomplete markets with HARA utility," Journal of Economic Dynamics and Control, Elsevier, vol. 21(4-5), pages 753-782, May.
Citations
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Cited by:
- Bayraktar, Erhan & Young, Virginia R., 2008.
"Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin,"
Finance Research Letters, Elsevier, vol. 5(4), pages 204-212, December.
- Erhan Bayraktar & Virginia R. Young, 2012. "Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin," Papers 1206.6268, arXiv.org.
- Bayraktar, Erhan & Young, Virginia R., 2008.
"Mutual fund theorems when minimizing the probability of lifetime ruin,"
Finance Research Letters, Elsevier, vol. 5(2), pages 69-78, June.
- Erhan Bayraktar & Virginia R. Young, 2007. "Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin," Papers 0705.0053, arXiv.org, revised Mar 2008.
- Bayraktar, Erhan & Hu, Xueying & Young, Virginia R., 2011.
"Minimizing the probability of lifetime ruin under stochastic volatility,"
Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 194-206, September.
- Erhan Bayraktar & Xueying Hu & Virginia R. Young, 2010. "Minimizing the Probability of Lifetime Ruin under Stochastic Volatility," Papers 1003.4216, arXiv.org, revised May 2011.
- Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R., 2016.
"Minimizing the probability of lifetime drawdown under constant consumption,"
Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 210-223.
- Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015. "Minimizing the Probability of Lifetime Drawdown under Constant Consumption," Papers 1507.08713, arXiv.org, revised May 2016.
- Erhan Bayraktar & Asaf Cohen, 2015. "Risk Sensitive Control of the Lifetime Ruin Problem," Papers 1503.05769, arXiv.org, revised Jul 2016.
- Gaïgi, M’hamed & Ly Vath, Vathana & Scotti, Simone, 2022. "Optimal harvesting under marine reserves and uncertain environment," European Journal of Operational Research, Elsevier, vol. 301(3), pages 1181-1194.
- Erhan Bayraktar & Yu-Jui Huang, 2010. "On the Multi-Dimensional Controller and Stopper Games," Papers 1009.0932, arXiv.org, revised Jan 2013.
- Frank Thomas Seifried, 2010. "Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach," Mathematics of Operations Research, INFORMS, vol. 35(3), pages 559-579, August.
- Luciano Campi & Davide Santis, 2020. "Nonzero-Sum Stochastic Differential Games Between an Impulse Controller and a Stopper," Journal of Optimization Theory and Applications, Springer, vol. 186(2), pages 688-724, August.
- Erhan Bayraktar & Yuchong Zhang, 2014. "Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs," Papers 1404.7406, arXiv.org, revised Nov 2014.
- Erhan Bayraktar & Yuchong Zhang, 2014. "Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion," Papers 1402.1809, arXiv.org, revised Nov 2014.
- Hernández-Hernández, Daniel & Yamazaki, Kazutoshi, 2015. "Games of singular control and stopping driven by spectrally one-sided Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 125(1), pages 1-38.
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More about this item
Keywords
Probability of lifetime ruin; Stochastic games; Optimal stopping; Optimal investment; Viscosity solution; Hamilton–Jacobi–Bellman equation; Variational inequality; 93E20; 91B28; 60G40; G11; C61;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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