Finite- and Infinite-Time Ruin Probabilities in the Presence of Stochastic Returns on Investments. Tang, Q. & Tsitsiashvili, G. Advances in Applied Probability, 36(4):1278–1299, December, 2004.
Paper doi bibtex @Article{Tang:2004:FIT,
author = "Qihe Tang and Gurami Tsitsiashvili",
title = "Finite- and Infinite-Time Ruin Probabilities in the
Presence of Stochastic Returns on Investments",
journal = j-ADV-APPL-PROB,
volume = "36",
number = "4",
pages = "1278--1299",
month = dec,
year = "2004",
CODEN = "AAPBBD",
DOI = "https://doi.org/10.2307/4140398",
ISSN = "0001-8678 (print), 1475-6064 (electronic)",
ISSN-L = "0001-8678",
bibdate = "Sat May 3 07:42:52 MDT 2014",
bibsource = "http://www.jstor.org/stable/i387666;
http://www.math.utah.edu/pub/tex/bib/advapplprob.bib",
URL = "http://www.jstor.org/stable/4140398",
acknowledgement = ack-nhfb,
ajournal = "Adv. Appl. Probab.",
fjournal = "Advances in Applied Probability",
journal-URL = "http://www.jstor.org/journals/00018678.html",
}
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