Related papers: On the optimal dividend problem for a spectrally p…
Sustaining efficiency and stability by properly controlling the equity to asset ratio is one of the most important and difficult challenges in bank management. Due to unexpected and abrupt decline of asset values, a bank must closely…
We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d.…
We study a model of a corporation which has the possibility to choose various production/business policies with different expected profits and risks. In the model there are restrictions on the dividend distribution rates as well as…
We characterise the value function of the optimal dividend problem with a finite time horizon as the unique classical solution of a suitable Hamilton-Jacobi-Bellman equation. The optimal dividend strategy is realised by a Skorokhod…
In this paper we continue investigating the optimal dividend and investment problems under the Sparre Andersen model. More precisely, we assume that the claim frequency is a renewal process instead of a standard compound Poisson process,…
This paper develops numerical methods for finding optimal dividend pay-out and reinsurance policies. A generalized singular control formulation of surplus and discounted payoff function are introduced, where the surplus is modeled by a…
In a one-sided limit order book, satisfying some realistic assumptions, where the unaffected price process follows a Levy process, we consider a market agent that wants to liquidate a large position of shares. We assume that the agent has…
We consider a class of two-sided singular control problems. A controller either increases or decreases a given spectrally negative Levy process so as to minimize the total costs comprising of the running and control costs where the latter…
We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness of a local-time type optimal control. To establish this…
A stock loan is a loan, secured by a stock, which gives the borrower the right to redeem the stock at any time before or on the loan maturity. The way of dividends distribution has a significant effect on the pricing of the stock loan and…
This paper studies the optimal dividend problem with a bounded payout rate in a partially observed regime-switching diffusion model, where, in practice, the market regime is unobserved and key model parameters are unknown. To address this…
A new approach to solve the continuous-time stochastic inventory problem using the fluctuation theory of Levy processes is developed. This approach involves the recent developments of the scale function that is capable of expressing many…
The paper deals with a generalization of the risk model with stochastic premiums where dividends are paid according to a multi-layer dividend strategy. First of all, we derive piecewise integro-differential equations for the Gerber--Shiu…
We study a practical optimization problems for venture capital investments and/or Research and Development (R&D) investments. The first problem is that, given the amount of the initial investment and the reward function at the initial…
We consider the optimal dividend problem in the so-called degenerate bivariate risk model under the assumption that the surplus of one branch may become negative. More specific, we solve the stochastic control problem of maximizing…
We revisit an absolutely-continuous version of the stochastic control problem driven by a L\'evy process. A strategy must be absolutely continuous with respect to the Lebesgue measure and the running cost function is assumed to be convex.…
In this paper we propose and solve an optimal dividend problem with capital injections over a finite time horizon. The surplus dynamics obeys a linearly controlled drifted Brownian motion that is reflected at the origin, dividends give rise…
We revisit the optimization problem solved in L{\o}kka & Zervos (2008), i.e., the maximization of dividends, in a Brownian risk model, with the possibility (not the obligation) of making capital injections. Following the approach introduced…
We provide, in a general setting, explicit solutions for optimal stopping problems that involve a diffusion process and its running maximum. Besides, a new feature includes absorbing boundaries that vary with the value of the running…
This paper develops a method to derive optimal portfolios and risk premia explicitly in a general diffusion model for an investor with power utility and a long horizon. The market has several risky assets and is potentially incomplete.…