Related papers: Unexpected Default in an Information Based Model
In this paper we consider the statistical inference of the unknown parameter of an exponential distribution based on the time truncated data. The time truncated data occurs quite often in the reliability analysis for type-I or hybrid…
We develop a generalization of the Black-Cox structural model of default risk. The extended model captures uncertainty related to firm's ability to avoid default even if company's liabilities momentarily exceeding its assets. Diffusion in a…
The present paper is devoted to the study of a bank salvage model with finite time horizon and subjected to stochastic impulse controls. In our model, the bank's default time is a completely inaccessible random quantity generating its own…
We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous random mark added at default time. Two types of agents who have different levels of…
In this paper we study an incomplete information optimal switching problem in which the manager only has access to noisy observations of the underlying Brownian motion $\{W_t\}_{t \geq 0}$. The manager can, at a fixed cost, switch between…
Modelling of multiple simultaneous failures in insurance, finance and other areas of applied probability is important especially from the point of view of pandemic-type events. A benchmark limiting model for the analysis of multiple…
In an incomplete continuous-time securities market with uncertainty generated by Brownian motions, we derive closed-form solutions for the equilibrium interest rate and market price of risk processes. The economy has a finite number of…
The claim arrival process to an insurance company is modeled by a compound Poisson process whose intensity and/or jump size distribution changes at an unobservable time with a known distribution. It is in the insurance company's interest to…
This paper investigates MDPs with intermittent state information. We consider a scenario where the controller perceives the state information of the process via an unreliable communication channel. The transmissions of state information…
We investigate a suspension bridge model described by a nonlinear plate equation incorporating internal fractional damping and infinite memory effects. The system also includes a nonlinear source term that may induce instability. Using…
In this paper, we consider a new queueing model where queues balance themselves according to a mean field interaction with a time delay. Unlike other work with delayed information our model considers multi-server queues with customer…
Let $\{B(t), t\ge 0\}$ be a Brownian motion. Consider the Brownian motion risk model with interest rate collection and tax payment defined by \begin{align}\label{Rudef}…
This paper deals with the balanced truncation model reduction of discrete-time, linear time-varying, heterogeneous subsystems interconnected over finite arbitrary directed graphs. The information transfer between the subsystems is subject…
We develop a Bayesian model for decision-making under time pressure with endogenous information acquisition. In our model, the decision maker decides when to observe (costly) information by sampling an underlying continuous-time stochastic…
We analyze a two-player, nonzero-sum Dynkin game of stopping with incomplete information. We assume that each player observes his own Brownian motion, which is not only independent of the other player's Brownian motion but also not…
Motivated by the interplay between structural and reduced form credit models, we propose to model the firm value process as a time-changed Brownian motion that may include jumps and stochastic volatility effects, and to study the first…
We derive closed-form solutions to the optimal stopping problems related to the pricing of perpetual American standard and lookback put and call options in the extensions of the Black-Merton-Scholes model with progressively enlarged…
Obtaining adiabatic processes that connect equilibrium states in a given time represents a challenge for mesoscopic systems. In this paper, we explicitly show how to build these finite-time adiabatic processes for an overdamped Brownian…
In this article we consider an optimization problem of expected utility maximization of continuous-time trading in a financial market. This trading is constrained by a benchmark for a utility-based shortfall risk measure. The market…
The information-based asset-pricing framework of Brody, Hughston and Macrina (BHM) is extended to include a wider class of models for market information. In the BHM framework, each asset is associated with a collection of random cash flows.…