科研之友
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摘要
We consider a controlled diffusion process where the controller is allowed to choose drift and volatility from a set when . By choosing the largest at every point in time, an extremal process is constructed which is under suitable time changes stochastically larger than any other admissible process. This observation immediately leads to a very simple solution of problems where ruin or hitting probabilities have to be minimized. Under further conditions this extremal process also minimizes 'drawdown' probabilities.
- 出版日期2014-3-4
