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Minimizing the probability of lifetime ruin under ambiguity aversion. (English) Zbl 1343.49028


MSC:

49J55 Existence of optimal solutions to problems involving randomness
49L25 Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
49L20 Dynamic programming in optimal control and differential games
93E20 Optimal stochastic control
60H30 Applications of stochastic analysis (to PDEs, etc.)
60G46 Martingales and classical analysis
91B30 Risk theory, insurance (MSC2010)
35Q93 PDEs in connection with control and optimization
35D40 Viscosity solutions to PDEs
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