Stochastic Perron's Method for the Probability of Lifetime...

SIAM Journal on Control and Optimization 2015 / 01 Vol. 53; Iss. 1

Stochastic Perron's Method for the Probability of Lifetime Ruin Problem Under Transaction Costs

Bayraktar, Erhan, Zhang, Yuchong
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Volume:
53
Language:
english
Journal:
SIAM Journal on Control and Optimization
DOI:
10.1137/140967052
Date:
January, 2015
File:
PDF, 281 KB
english, 2015
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