Email this article A Bound on the Probability of Ruin in Merton’s Model
- Authors: Morozov V.V.1, Babin V.A.1
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Affiliations:
- Faculty of Computational Mathematics and Cybernetics, Moscow State University
- Issue: Vol 28, No 3 (2017)
- Pages: 368-376
- Section: II. Informatics
- URL: https://ogarev-online.ru/1046-283X/article/view/247632
- DOI: https://doi.org/10.1007/s10598-017-9370-5
- ID: 247632
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Abstract
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.
About the authors
V. V. Morozov
Faculty of Computational Mathematics and Cybernetics, Moscow State University
Author for correspondence.
Email: vmorosov@mail.ru
Russian Federation, Moscow
V. A. Babin
Faculty of Computational Mathematics and Cybernetics, Moscow State University
Email: vmorosov@mail.ru
Russian Federation, Moscow
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