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Minimizing or Maximizing the Expected Time to Reach Zero
2 references·14 citing·39 second hop
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this work references cited by second hop

References

  • 1980Controlled Diffusion Processes1,313 cited
  • 1985Continuous-Time Red and Black: How to Control a Diffusion to a Goal93 cited

Cited by

  • 1998The return on investment from proportional portfolio strategies60 cited
  • 2011Optimal arbitrage under model uncertainty55 cited
  • 2013THE INCENTIVES OF HEDGE FUND FEES AND HIGH‐WATER MARKS43 cited
  • 2013Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark36 cited
  • 1997Reaching Goals by a Deadline: Digital Options and Continuous-Time Active Portfolio Management36 cited
  • 1997Adaptive control of a diffusion to a goal and a parabolic Monge–Ampère-type equation35 cited
  • 2012On the History of the Growth-Optimal Portfolio35 cited
  • 2011Machine Learning for Financial Engineering34 cited
  • 1989Controlling a Process to a Goal in Finite Time29 cited
  • 1987Reaching Zero Rapidly26 cited
  • 1997Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time20 cited
  • 1988Admissible investment strategies in continuous trading19 cited
  • 1988Continuous-Time Casino Problems19 cited

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  • 2010Minimizing the Expected Market Time to Reach a Certain Wealth Level15 cited