Related papers: Optimal dividend problems for a jump-diffusion mod…
We study optimal investment problem for a diffusion market consisting of a finite number of risky assets (for example, bonds, stocks and options). Risky assets evolution is described by Ito's equation, and the number of risky assets can be…
In this paper, we investigate an optimal investment problem associated with proportional portfolio insurance (PPI) strategies in the presence of jumps in the underlying dynamics. PPI strategies enable investors to mitigate downside risk…
We study an optimal investment problem with multiple entries and forced exits. A closed form solution of the optimisation problem is presented for general underlying diffusion dynamics and a general running payoff function in the case when…
This paper is devoted to an optimal control problem of fully coupled forward-backward stochastic differential equations driven by sub-diffusion, whose solutions are not Markov processes. The stochastic maximum principle is obtained, where…
We investigate a dividend maximization problem under stochastic interest rates with Ornstein-Uhlenbeck dynamics. This setup also takes negative rates into account. First a deterministic time is considered, where an explicit separating curve…
We study a regulation problem for stochastic systems subject to both continuous fluctuations and rare but significant shocks, modeled as a jump-diffusion with uncertainty in both the drift and the jump intensity. Such settings arise in…
We study the optimal bailout dividend problem with transaction costs for an insurance company, where shareholder payouts align with the arrival times of an independent Poisson process. In this scenario, the underlying risk model follows a…
We consider the multi-refraction strategies in two equivalent versions of the optimal dividend problem in the dual (spectrally positive L\'evy) model. The first problem is a variant of the bail-out case where both dividend payments and…
We study the optimal dividend problem in the dual model where dividend payments can only be made at the jump times of an independent Poisson process. In this context, Avanzi et al. [5] solved the case with i.i.d. hyperexponential jumps;…
Portfolio management problems are often divided into two types: active and passive, where the objective is to outperform and track a preselected benchmark, respectively. Here, we formulate and solve a dynamic asset allocation problem that…
We consider the valuation problem of an (insurance) company under partial information. Therefore we use the concept of maximizing discounted future dividend payments. The firm value process is described by a diffusion model with constant…
Banks must optimize risky investments, dividend payouts, and capital structure under tight Basel III solvency and liquidity constraints, while costly equity issuance serves as a distress-recovery tool. We formulate this as a stochastic…
This paper studies the bail-out optimal dividend problem with regime switching under the constraint that the cumulative dividend strategy is absolutely continuous. We confirm the optimality of the regime-modulated refraction-reflection…
Motivated by a new formulation of the classical dividend problem, we show that Peskir's maximality principle can be transferred to singular stochastic control problems with 2-dimensional degenerate dynamics and absorption along the diagonal…
We study a problem of utility maximization under model uncertainty with information including jumps. We prove first that the value process of the robust stochastic control problem is described by the solution of a quadratic-exponential…
We study an optimal control problem in which both the objective function and the dynamic constraint contain an uncertain parameter. Since the distribution of this uncertain parameter is not exactly known, the objective function is taken 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 consider the optimal dividends problem for a company whose cash reserves follow a general Levy process with certain positive jumps and arbitrary negative jumps. The objective is to find a policy which maximizes the…
We consider a stochastic control problem with the assumption that the system is controlled until the state process breaks the fixed barrier. Assuming some general conditions, it is proved that the resulting Hamilton Jacobi Bellman equations…
We investigate the problem of optimal dividend distribution for a company in the presence of regime shifts. We consider a company whose cumulative net revenues evolve as a Brownian motion with positive drift that is modulated by a finite…