|Date: Wednesday, February 24, 2016
Location: 4096 East Hall (3:00 PM to 4:00 PM)
Title: Risk Sensitive Control of the Lifetime Ruin Problem
Abstract: We study a risk sensitive control version of the lifetime ruin probability problem. We consider a sequence of investments problems in Black-Scholes market that includes a risky asset and a riskless asset. We present a differential game that governs the limit behavior. We solve it explicitly and use it in order to find an asymptotically optimal policy.
Joint work with Erhan Bayraktar.
Speaker: Asaf Cohen
Event Organizer: Erhan Bayraktar email@example.com