相关论文: On optimal periodic dividend strategies for L\'evy…

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…

A new class of stochastic processes called independent and periodically identically distributed (i.p.i.d.) processes is defined to capture periodically varying statistical behavior. A novel Bayesian theory is developed for detecting a…

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…

The scope of this paper is to study the optimal stopping problems associated to a stochastic process, which may represent the gain of an investment, for which information on the final value is available a priori. This information may…

Given a spectrally negative L\'evy process, we predict, in a $L_1$ sense, the last passage time of the process below zero before an independent exponential time. This optimal prediction problem generalises Baurdoux and Pedraza (2020) where…

We solve the pricing problem for perpetual American puts and calls on dividend-paying assets. The dependence of a dividend process on the underlying stochastic factor is fairly general: any non-decreasing function is admissible. The…

In this paper, we study the asymptotic behavior for multi-scale stochastic differential equations driven by L\'evy processes. The optimal strong convergence order 1/2 is obtained by studying the regularity estimates for the solution of…

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),…

This paper presents a simple method for a posteriori (historical) multi-variate multi-stage optimal trading under transaction costs and a diversification constraint. Starting from a given amount of money in some currency, we analyze the…

In this paper we propose a new model for pricing stock and dividend derivatives. We jointly specify dynamics for the stock price and the dividend rate such that the stock price is positive and the dividend rate non-negative. In its simplest…

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 we study a class of optimal dividend and investment problems assuming that the underlying reserve process follows the Sparre Andersen model, that is, the claim frequency is a "renewal" process, rather than a standard compound…

In this research, we develop a trading strategy for the discrete-time optimal liquidation problem of large order trading with different market microstructures in an illiquid market. In this framework, the flow of orders can be viewed as a…

We study spectral-theoretic properties of non-self-adjoint operators arising in the study of one-dimensional L\'evy processes with completely monotone jumps with a one-sided barrier. With no further assumptions, we provide an integral…

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…

We study optimal stopping problems related to the pricing of perpetual American options in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depend on the running values…

We study the optimal stopping of an American call option in a random time-horizon under exponential spectrally negative L\'evy models. The random time-horizon is modeled as the so-called Omega default clock in insurance, which is the first…

In generative modelling and stochastic optimal control, a central computational task is to modify a reference diffusion process to maximise a given terminal-time reward. Most existing methods require this reward to be differentiable, using…

In this manuscript we consider the dual risk model with financial application, where the random gains occur under a renewal process. We particularly work the Erlang(n) case for common distribution of the inter-arrival times, from there it…

We consider a L\'evy process $Y(t)$ that is not permanently observed, but rather inspected at Poisson($\omega$) moments only, over an exponentially distributed time $T_\beta$ with parameter $\beta$. The focus lies on the analysis of the…