电邮这篇文章 A Bound on the Probability of Ruin in Merton’s Model
- 作者: Morozov V.V.1, Babin V.A.1
-
隶属关系:
- Faculty of Computational Mathematics and Cybernetics, Moscow State University
- 期: 卷 28, 编号 3 (2017)
- 页面: 368-376
- 栏目: II. Informatics
- URL: https://journals.rcsi.science/1046-283X/article/view/247632
- DOI: https://doi.org/10.1007/s10598-017-9370-5
- ID: 247632
如何引用文章
开放存取
##reader.subscriptionAccessGranted##
订阅存取
详细
We consider a modified Merton’s model of optimal consumption that allows for the utility of continuous and terminal consumption. An explicit solution of the Hamilton-Jacoby-Bellman equation is found. An upper bound is constructed on the probability of an event involving either investor ruin or negative consumption.
作者简介
V. Morozov
Faculty of Computational Mathematics and Cybernetics, Moscow State University
编辑信件的主要联系方式.
Email: vmorosov@mail.ru
俄罗斯联邦, Moscow
V. Babin
Faculty of Computational Mathematics and Cybernetics, Moscow State University
Email: vmorosov@mail.ru
俄罗斯联邦, Moscow
补充文件
