相关论文: Optimal Singular Dividend Problem under the Sparre…
In this paper, we study the optimal singular controls for stochastic recursive systems, in which the control has two components: the regular control, and the singular control. Under certain assumptions, we establish the dynamic programming…
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 non-convex Hamilton-Jacobi equations in the presence of gradient constraints and produce new, optimal, regularity results for the solutions. A distinctive feature of those equations regards the existence of a lower bound to the…
This paper concerns the dual risk model, dual to the risk model for insurance applications, where premiums are surplus-dependent. In such a model premiums are regarded as costs, while claims refer to profits. We calculate the mean of the…
In this paper we investigate a path dependent optimal control problem on the process space with both drift and volatility controls, with possibly degenerate volatility. The dynamic value function is characterized by a fully nonlinear second…
We study a class of singular stochastic control problems for a one-dimensional diffusion $X$ in which the performance criterion to be optimised depends explicitly on the running infimum $I$ (or supremum $S$) of the controlled process. We…
In this paper, a robust optimal reinsurance-investment problem with delay is studied under the $\alpha$-maxmin mean-variance criterion. The surplus process of an insurance company approximates Brownian motion with drift. The financial…
We define a model of a system that deteriorate as a result of (i) shocks, modeled as a compound Poisson process and (ii) deterministic, state dependent progressive rate, with variable and fixed maintenance cost. We define maintenance…
We study an optimal control problem related to swing option pricing in a general non-Markovian setting in continuous time. As a main result we show that the value process solves a first-order non-linear backward stochastic partial…
We study a singular stochastic control problem faced by the owner of an insurance company that dynamically pays dividends and raises capital in the presence of the restriction that the surplus process must be above a given dividend payout…
We study optimal portfolio choice under Epstein-Zin recursive utility in the presence of general leverage constraints. We first establish that the optimal value function is the unique viscosity solution to the associated…
We study a constrained optimal control problem with possibly degenerate coefficients arising in models of optimal portfolio liquidation under market impact. The coefficients can be random in which case the value function is described by a…
We consider the bail-out optimal dividend problem under fixed transaction costs for a L\'evy risk model. Furthermore, we consider the version with a constraint expected net present value of injected capital. To characterize the solution to…
In this paper, we provide an example of the optimal growth model in which there exist infinitely many solutions to the Hamilton-Jacobi-Bellman equation but the value function does not satisfy this equation. We consider the cause of this…
This paper studies the bailout optimal dividend problem with regime switching under the constraint that dividend payments can be made only at the arrival times of an independent Poisson process while capital can be injected continuously in…
We study an optimal stopping problem with an unbounded, time-dependent and discontinuous reward function. This problem is motivated by the pricing of a variable annuity contract with guaranteed minimum maturity benefit, under the assumption…
We study a class of optimal control problems with state constraints where the state equation is a differential equation with delays. This class includes some problems arising in economics, in particular the so-called models with time to…
Optimal dividend strategy in dual risk model is well studied in the literatures. But to the best of our knowledge, all the previous works assumes deterministic interest rate. In this paper, we study the optimal dividends strategy in dual…
This article explores an optimal stopping problem for branching diffusion processes. It consists in looking for optimal stopping lines, a type of stopping time that maintains the branching structure of the processes under analysis. By using…
In this paper we consider a utility maximization problem with defaultable stocks and looping contagion risk. We assume that the default intensity of one company depends on the stock prices of itself and other companies, and the default of…