Related papers: The Leland-Toft optimal capital structure model un…
This paper considers nonlinear regular-singular stochastic optimal control of large insurance company. The company controls the reinsurance rate and dividend payout process to maximize the expected present value of the dividend pay-outs…
We study a problem of optimal allocation in a discrete-time multi-period pure-exchange economy, where agents have preferences over stochastic endowment processes that are represented by strongly time-consistent dynamic risk measures. We…
In this paper, we consider an informational market model with two flows of informations. The smallest flow F, which is available to all agents, is the filtration of the initial market model(S,F,P), where S is the assets' prices and P is a…
This paper considers an optimal control of a big financial company with debt liability under bankrupt probability constraints. The company, which faces constant liability payments and has choices to choose various production/business…
In this paper, an attempt has been made to develop a simple leakage inventory model without shortages with instantaneous or finite production rate under fuzzy environment. In the present day scenario, it is difficult to decide the exact…
We consider a mean-reverting stochastic volatility model which satisfies some relevant stylized facts of financial markets. We introduce an algorithm for the detection of peaks in the volatility profile, that we apply to the time series of…
Suppose that local characteristics of several independent compound Poisson and Wiener processes change suddenly and simultaneously at some unobservable disorder time. The problem is to detect the disorder time as quickly as possible after…
Catalog maintenance of space objects by limited number of ground-based sensors presents a formidable challenging task to the space community. This article presents a methodology for time-invariant tracking and surveillance of space objects…
We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing price formation driven solely by order flow through…
This paper studies finite-horizon stochastic linear-quadratic optimal control problems with random coefficients and Poisson jumps, where the weighting matrices may be random and indefinite. Under a uniform convexity condition on the cost…
Capital distribution curve is defined as log-log plot of normalized stock capitalizations ranked in descending order. The curve displays remarkable stability over periods of time. Theory of exchangeable distributions on set partitions,…
We address the problem of learning observation models end-to-end for estimation. Robots operating in partially observable environments must infer latent states from multiple sensory inputs using observation models that capture the joint…
In this paper we consider the maximum principle of optimal control for a stochastic control problem. This problem is governed by a system of fully coupled multi-dimensional forward-backward doubly stochastic differential equation with…
We construct a stochastic dynamical systems theory in which sustainability is a structural boundary property of a fully coupled Earth--Human--Production system. Each subsystem is modelled as a vector-valued process governed by stochastic…
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…
In the realm of large-scale spatiotemporal data, abrupt changes are commonly occurring across both spatial and temporal domains. This study aims to address the concurrent challenges of detecting change points and identifying spatial…
We propose two structural models for stochastic losses given default which allow to model the credit losses of a portfolio of defaultable financial instruments. The credit losses are integrated into a structural model of default events…
In our previous studies we have investigated the structural complexity of time series describing stock returns on New York's and Warsaw's stock exchanges, by employing two estimators of Shannon's entropy rate based on Lempel-Ziv and Context…
We establish a systematic solution method for optimal stopping problems of spectrally negative L\'evy processes. Our approach relies essentially on the potential theory, in particular the Riesz decomposition and the maximum principle. Using…
In this paper we study a continuous time stochastic inventory model for a commodity traded in the spot market and whose supply purchase is affected by price and demand uncertainty. A firm aims at meeting a random demand of the commodity at…