1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.PM2007★ 1 cited
Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control
Erhan Bayraktar, Virginia R. Young
We reveal an interesting convex duality relationship between two problems: (a) minimizing the probability of lifetime ruin when the rate of consumption is stochastic and when the i…
math.OC2007
Correspondence between Lifetime Minimum Wealth and Utility of Consumption
Erhan Bayraktar, Virginia R. Young
We establish when the two problems of minimizing a function of lifetime minimum wealth and of maximizing utility of lifetime consumption result in the same optimal investment strat…