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In this paper, we deal with a weighted eigenvalue problem for the anisotropic $(p,q)$-Laplacian with Dirichlet boundary conditions. We study the main properties of the first eigenvalue and a reverse Hölder type inequality for the corresponding eigenfunctions.

We study the optimal investment strategy to minimize the probability of lifetime ruin under a general mortality hazard rate. We explore the error between the minimum probability of lifetime ruin and the achieved probability of lifetime ruin if one follows a simple investment strategy inspired by earlier work in this area. We also include numerical examples to illustrate the estimation. We show that the nearly optimal probability of lifetime ruin under the simplified investment strategy is quite close to the original minimum probability of lifetime ruin under reasonable parameter values.

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On a weighted anisotropic eigenvalue problem

A SIMPLE AND NEARLY OPTIMAL INVESTMENT STRATEGY TO MINIMIZE THE PROBABILITY OF LIFETIME RUIN

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2 results

On a weighted anisotropic eigenvalue problem

A SIMPLE AND NEARLY OPTIMAL INVESTMENT STRATEGY TO MINIMIZE THE PROBABILITY OF LIFETIME RUIN