相关论文: Fluctuation identities for omega-killed Markov add…

Dynamical systems with components whose sizes evolve according to multiplicative stochastic rules have been recently combined with entry and exit processes. We show that the assumptions usually made in modeling exits are at odds with the…

This paper studies a portfolio optimization problem in a discrete-time Markovian model of a financial market, in which asset price dynamics depend on an external process of economic factors. There are transaction costs with a structure that…

In this paper we study the valuation problem of an insurance company by maximizing the expected discounted future dividend payments in a model with partial information that allows for a changing economic environment. The surplus process is…

We consider an additive functional driven by a time-inhomogeneous Markov chain with a finite state space. Our study focuses on the joint distribution of the two-sided exit time and the state of the driving Markov chain at the time of exit,…

We present an approximate analytical expression for the escape rate of time-dependent driven stochastic processes with an absorbing boundary such as the driven leaky integrate-and-fire model for neural spiking. The novel approximation is…

This project attempts to address the problem of asset pricing in a financial market, where the interest rates and volatilities exhibit regime switching. This is an extension of the Black-Scholes model. Studies of Markov-modulated regime…

Populations interact non-linearly and are influenced by environmental fluctuations. In order to have realistic mathematical models, one needs to take into account that the environmental fluctuations are inherently stochastic. Often,…

In piecewise-deterministic Markov processes (PDMPs) the state of a finite-dimensional system evolves continuously, but the evolutive equation may change randomly as a result of discrete switches. A running cost is integrated along the…

We study discretizations of polynomial processes using finite state Markov processes satisfying suitable moment matching conditions. The states of these Markov processes together with their transition probabilities can be interpreted as…

Consider a one-sided Markov additive process with an upper and a lower barrier, where each can be either reflecting or terminating. For both defective and non-defective processes and all possible scenarios we identify the corresponding…

A Markov process fluctuating away from its typical behavior can be represented in the long-time limit by another Markov process, called the effective or driven process, having the same stationary states as the original process conditioned…

In this paper, we consider the problem of controlling a partially observed Markov decision process (POMDP) in order to actively estimate its state trajectory over a fixed horizon with minimal uncertainty. We pose a novel active smoothing…

This paper proposes and studies an optimal dividend problem in which a two-state regime-switching environment affects the dynamics of the company's cash surplus and, as a novel feature, also the bankruptcy level. The aim is to maximize the…

We consider the pricing of derivatives written on accumulated marks, such as weather derivatives or aggregate loss claims, using a self-exciting marked point process. The jump intensity mean-reverts between events and increases at jump…

In this paper, we analyse piecewise deterministic Markov processes, as introduced in Davis (1984). Many models in insurance mathematics can be formulated in terms of the general concept of piecewise deterministic Markov processes. In this…

We study the effect of investor inertia on stock price fluctuations with a market microstructure model comprising many small investors who are inactive most of the time. It turns out that semi-Markov processes are tailor made for modelling…

We study market-consistent valuation of liability cash flows motivated by current regulatory frameworks for the insurance industry. Building on the theory on multiple-prior optimal stopping we propose a valuation functional with sound…

Recent studies have identified long-range dependence as a key feature in the dynamics of both mortality and interest rates. Building on this insight, we develop a novel bi-variate stochastic framework based on mixed fractional Brownian…

Optimal execution of a portfolio have been a challenging problem for institutional investors. Traders face the trade-off between average trading price and uncertainty, and traditional methods suffer from the curse of dimensionality. Here,…

Economic variables play important roles in any economic model, and sudden and dramatic changes exist in the financial market and economy. For this reason, to price and hedge equity-linked life insurance products, including segregated funds…