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"Stochastic Perron's Method for the Probability of Lifetime Ruin Problem ..."

Erhan Bayraktar, Yuchong Zhang (2015)

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DOI: 10.1137/140967052

access: closed

type: Journal Article

metadata version: 2023-09-19

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Erhan Bayraktar, Yuchong Zhang:
Stochastic Perron's Method for the Probability of Lifetime Ruin Problem Under Transaction Costs. SIAM J. Control. Optim. 53(1): 91-113 (2015)

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