Record link: 
http://hdl.handle.net/20.500.12708/144147
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Title: 
A ruin problem for a two-dimensional Brownian motion with controllable drift in the positive quadrant
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Citation: 
Grandits, P. (2019). A ruin problem for a two-dimensional Brownian motion with controllable drift in the positive quadrant. THEORY OF PROBABILITY AND ITS APPLICATIONS, 64(4), 811–823. https://doi.org/10.4213/tvp5276
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Publisher DOI: 
10.4213/tvp5276
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Publication Type: 
Article - Short/Brief/Rapid Communication
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Language: 
English
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Authors: 
Grandits, Peter 
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Organisational Unit: 
E105-01 - Forschungsbereich Risikomanagement in Finanz- und Versicherungsmathematik 
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Journal: 
THEORY OF PROBABILITY AND ITS APPLICATIONS 
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ISSN: 
0040-585X
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Date (published): 
2019
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Number of Pages: 
13
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Publisher: 
SIAM PUBLICATIONS
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Peer reviewed: 
Yes
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Keywords: 
ruin probabilities; optimal control problem; atlas model; free boundary problems
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Research Areas: 
Mathematical Methods in Economics: 70%
Fundamental Mathematics Research: 30%
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Science Branch: 
Mathematik
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