Related papers: On the optimality of the refraction--reflection st…
Overdamped Langevin dynamics are reversible stochastic differential equations which are commonly used to sample probability measures in high-dimensional spaces, such as the ones appearing in computational statistical physics and Bayesian…
In this paper we solve the dividend optimization problem for a corporation or a financial institution when the managers of the corporation are facing (regulatory) implementation delays. We consider several cash reservoir models for the firm…
In mathematical finance, Levy processes are widely used for their ability to model both continuous variation and abrupt, discontinuous jumps. These jumps are practically relevant, so reliable inference on the feature that controls jump…
This paper studies indefinite stochastic linear-quadratic (LQ) optimal control for jump-diffusion systems with random coefficients. We construct an algebraic inverse flow from the zero-control base system, extract the semimartingale kernel…
We consider an insurance company modelling its surplus process by a Brownian motion with drift. Our target is to maximise the expected exponential utility of discounted dividend payments, given that the dividend rates are bounded by some…
In this paper we study the problem of optimal dividend payment strategy which maximizes the expected discounted sum of dividends to a multidimensional set up of n associated insurance companies where the surplus process follows an…
In this paper, an optimal switching problem is proposed for one-dimensional reflected backward stochastic differential equations (RBSDEs, for short) where the generators, the terminal values and the barriers are all switched with positive…
We consider a forager diffusing via a fractional heat equation and we introduce several efficiency functionals whose optimality is discussed in relation to the L\'evy exponent of the evolution equation. Several biological scenarios, such as…
In this paper, we introduce a modification of the free boundary problem related to optimal stopping problems for diffusion processes. This modification allows the application of this PDE method in cases where the usual regularity…
We determine the variance-optimal hedge when the logarithm of the underlying price follows a process with stationary independent increments in discrete or continuous time. Although the general solution to this problem is known as backward…
We study an optimal dividend problem for an insurer who simultaneously controls investment weights in a financial market, liability ratio in the insurance business, and dividend payout rate. The insurer seeks an optimal strategy to maximize…
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…
This paper considers an insurer with two collaborating business lines that must make three critical decisions: (1) dividend payout, (2) a combination of proportional and excess-of-loss reinsurance coverage, and (3) capital injection between…
Optimal random foraging strategy has gained increasing concentrations. It is shown that L\'evy flight is more efficient compared with the Brownian motion when the targets are sparse. However, standard L\'evy flight generally cannot be…
We consider a diffusion risk model where dividends are paid at rate $U(t) \in [0, u_0]$. We are interested in maximising the dividend payments under a drawdown constraint, that is, we penalise a drawdown size larger than a level $d > 0$. We…
Consider a reflected diffusion on the positive half-line. We approximate it by solutions of stochastic differential equations using the penalty method: We emulate the "hard barrier" of reflection by a "soft barrier" of a large drift…
For a spectrally negative L\'evy process $X$, we study the following distribution: $$ \mathbb{E}_x \left[ \mathrm{e}^{- q \int_0^t \mathbf{1}_{(a,b)} (X_s) \mathrm{d}s } ; X_t \in \mathrm{d}y \right], $$ where $-\infty \leq a < b < \infty$,…
We introduce a new formulation of reflected BSDEs and doubly reflected BSDEs associated with irregular obstacles. In the first part of the paper, we consider an extension of the classical optimal stopping problem over a larger set of…
After a short excursion from discovery of Brownian motion to the Richardson "law of four thirds" in turbulent diffusion, the article introduces the L\'{e}vy flight superdiffusion as a self-similar L\'{e}vy process. The condition of…
We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formulated in terms of a system of Snell…