Related papers: Long-Run Average Reward Maximization of A Regulate…
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…
Controlled discrete time Markov processes are studied first with long run general discounting functional. It is shown that optimal strategies for average reward per unit time problem are also optimal for average generally discounting…
The expected present value of dividends is one of the classical stability criteria in actuarial risk theory. In this context, numerous papers considered threshold (refractive) and barrier (reflective) dividend strategies. These were shown…
We consider a Markov control model in discrete time with countable both state space and action space. Using the value function of a suitable long-run average reward problem, we study various reachability/controllability problems. First, we…
The focus of this article is studying an optimal control problem for branching diffusion processes. Initially, we introduce the problem in its strong formulation and expand it to include linearly growing drifts. Then, we present a relaxed…
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;…
This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present…
We study the optimal dividend problem for a firm's manager who has partial information on the profitability of the firm. The problem is formulated as one of singular stochastic control with partial information on the drift of the underlying…
The long-run average payoff per transition (mean payoff) is the main tool for specifying the performance and dependability properties of discrete systems. The problem of constructing a controller (strategy) simultaneously optimizing several…
This paper considers an insurer with two collaborating business lines, and the risk exposure of each line follows a diffusion risk model. The manager of the insurer makes three decisions for each line: (i) dividend payout, (ii)…
This paper analyzes and explicitly solves a class of long-term average impulse control problems with a specific mean-field interaction. The underlying process is a general one-dimensional diffusion with appropriate boundary behavior. The…
We consider a two-dimensional optimal dividend problem in the context of two branches of an insurance company with compound Poisson surplus processes dividing claims and premia in some specified proportions. We solve the stochastic control…
This paper explores the mean-variance portfolio selection problem in a multi-period financial market characterized by regime-switching dynamics and uncontrollable liabilities. To address the uncertainty in the decision-making process within…
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…
In dynamic programming (DP) and reinforcement learning (RL), an agent learns to act optimally in terms of expected long-term return by sequentially interacting with its environment modeled by a Markov decision process (MDP). More generally…
In this paper, we investigate the problem of optimal strategies of dividend and reinsurance under the Cram\'{e}r-Lundberg risk model embedded with the thinning-dependence structure which was firstly introduced by Wang and Yuen (2005),…
We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in which each agent observes the states of all other agents,…
We consider the optimal stopping problem consisting in, given a strong Markov process, a reward function and a discount rate, finding the stopping time such that the expected reward at the stopping time is maximum. The approach we follow,…
This paper considers an insurer with two collaborating business lines that faces three critical decisions: (1) dividend payout, (2) reinsurance coverage, and (3) capital injection between the lines, in the presence of model uncertainty. The…
We study reinforcement learning for controlled diffusion processes with unbounded continuous state spaces, bounded continuous actions, and polynomially growing rewards: settings that arise naturally in finance, economics, and operations…