Proving regularity of the minimal probability of ruin via a game of stopping and control

Erhan Bayraktar and Virginia Young ()

Finance and Stochastics, 2011, vol. 15, issue 4, 785-818

Keywords: Probability of lifetime ruin; Stochastic games; Optimal stopping; Optimal investment; Viscosity solution; Hamilton–Jacobi–Bellman equation; Variational inequality; 93E20; 91B28; 60G40; G11; C61 (search for similar items in EconPapers)
Date: 2011
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Working Paper: Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control (2010)
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DOI: 10.1007/s00780-011-0160-1

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