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E. Di Nardo, A. G. Nobile, E. Pirozzi and L. M. Ricciardi, “A Computational Approach to First-Passage-Time Problems for Gauss-Markov Processes,” Advances in Applied Probability, Vol. 33, No. 2, 2001, pp. 453-482. doi:10.1239/aap/999188324

has been cited by the following article:

• TITLE: Bounds for Goal Achieving Probabilities of Mean-Variance Strategies with a No Bankruptcy Constraint

  AUTHORS: Alexandre Scott, Francois Watier

  KEYWORDS: First Passage-Time; Mean-Variance Portfolios; Semi-Infinite Programming

  JOURNAL NAME: Applied Mathematics, Vol.3 No.12A, December 31, 2012

  ABSTRACT: We establish, through solving semi-infinite programming problems, bounds on the probability of safely reaching a desired level of wealth on a finite horizon, when an investor starts with an optimal mean-variance financial investment strategy under a non-negative wealth restriction.