Related papers: Suboptimal Control of Dividends under Exponential …

This paper studies an $\alpha$-robust utility maximization problem where an investor faces an intractable claim -- an exogenous contingent claim with known marginal distribution but unspecified dependence structure with financial market…

We consider a modification of the dividend maximization problem from ruin theory. Based on a classical risk process we maximize the difference of expected cumulated discounted dividends and total expected discounted additional funding…

In this paper, we consider the optimal dividend problem of the renewal risk model with phase-type distributed interclaim times and exponentially distributed claim sizes. Assume that the phases of the interclaim times can be observed. We…

We study an optimal liquidation problem with multiplicative price impact in which the trend of the asset's price is an unobservable Bernoulli random variable. The investor aims at selling over an infinite time-horizon a fixed amount of…

We study a stochastic optimal control problem for jump-diffusion systems whose drift coefficient is piecewise Lipschitz continuous and exhibits threshold-induced discontinuities. Such dynamics naturally arise in applications with…

We investigate the limiting distribution of geometric Brownian motion conditional on its running maximum taking large values. We show that the conditional distribution of the geometric Brownian motion converges after a suitable…

This paper investigates optimal portfolio strategies in a financial market where the drift of the stock returns is driven by an unobserved Gaussian mean reverting process. Information on this process is obtained from observing stock returns…

We consider an inventory system in which inventory level fluctuates as a Brownian motion in the absence of control. The inventory continuously accumulates cost at a rate that is a general convex function of the inventory level, which can be…

We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of the optimal consumption is obtained for…

We find the optimal indemnity to maximize the expected utility of terminal wealth of a buyer of insurance whose preferences are modeled by an exponential utility. The insurance premium is computed by a convex functional. We obtain a…

We solve a version of the optimal trade execution problem when the mid asset price follows a displaced diffusion. Optimal strategies in the adapted class under various risk criteria, namely value-at-risk, expected shortfall and a new…

This paper studies the optimal dividend for a multi-line insurance group, in which each subsidiary runs a product line and is exposed to some external credit risk. The default contagion is considered such that one default event may increase…

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 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 investment problem for a continuous time incomplete market model such that the risk-free rate, the appreciation rates and the volatility of the stocks are all random; they are assumed to be independent from the driving…

We consider the optimal dividend problem under a habit formation constraint that prevents the dividend rate to fall below a certain proportion of its historical maximum, the so-called drawdown constraint. This is an extension of the optimal…

This paper deals with numerical solutions of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked point process. The problem of the agent is…

We investigate a value-maximizing problem incorporating a human behavior pattern: present-biased-ness, for a firm which navigates strategic decisions encompassing earning retention/payout and capital injection policies, within the framework…

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…

Any firm whose business strategy has an exposure constraint that limits its potential gain naturally considers expansion, as this can increase its exposure. We model business expansion as an enlargement of the opportunity set for business…