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Using stochastic control, we characterize the value function as the unique classical solution of an associated Hamilton--Jacobi--Bellman (HJB) equation, obtain feedback forms for the optimal investment and drift distortion, and discuss their dependence on various model parameters. In analyzing the HJB equation, we establish the existence and uniqueness of a viscosity solution using Perron's method, and then upgrade regularity by working with an equivalent convex problem obtained via the Cole--Hopf transformation. We show the original value function may lose convexity for a class of parameters and the Isaacs condition may fail. Numerical examples are also included to illustrate our results.<\/jats:p>","DOI":"10.1137\/140955999","type":"journal-article","created":{"date-parts":[[2015,1,6]],"date-time":"2015-01-06T12:30:16Z","timestamp":1420547416000},"page":"58-90","source":"Crossref","is-referenced-by-count":57,"title":["Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion"],"prefix":"10.1137","volume":"53","author":[{"given":"Erhan","family":"Bayraktar","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Yuchong","family":"Zhang","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"351","published-online":{"date-parts":[[2015,1,6]]},"reference":[{"key":"atypb1","first-page":"3","volume":"6","author":"Alexandroff A. D.","year":"1939","journal-title":"Leningrad State Univ. Ann. Math. 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