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.
Finite- and Infinite-Time Ruin Probabilities in the Presence of Stochastic Returns on Investments [link]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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