相关论文: On the optimality of double barrier strategies for…

In this note, we study a class of stochastic control problems where the optimal strategies are described by two parameters. These include a subset of singular control, impulse control, and two-player stochastic games. The parameters are…

Infinite horizon optimal stopping problems for a L\'evy processes with a two-sided reward function are considered. A two-sided verification theorem is presented in terms of the overall supremum and the overall infimum of the process. A…

By using stochastic analysis, two probability versions of Li-Yau type inequalities are established for diffusion semigroups on a manifold possibly with (non-convex) boundary. The inequalities are explicitly given by the Bakry-Emery…

We study the two-times differentiability of the value functions of the primal and dual optimization problems that appear in the setting of expected utility maximization in incomplete markets. We also study the differentiability of the…

In this paper we propose distributed dual gradient algorithms for linearly constrained separable convex problems and analyze their rate of convergence under different assumptions. Under the strong convexity assumption on the primal…

In a one-sided limit order book, satisfying some realistic assumptions, where the unaffected price process follows a Levy process, we consider a market agent that wants to liquidate a large position of shares. We assume that the agent has…

In this paper we investigate an optimal dividend problem with transaction costs, where the surplus process is modelled by a refracted L\'evy process and the ruin time is considered with Parisian delay. Presence of the transaction costs…

In the paper, we develop a very fast and accurate method for pricing double barrier options with continuous monitoring in wide classes of L\'evy models; the calculations are in the dual space, and the Wiener-Hopf factorization is used. For…

This paper concerns the numerical solution of the finite-horizon Optimal Investment problem with transaction costs under Potential Utility. The problem is initially posed in terms of an evolutive HJB equation with gradient constraints. In…

Exploiting a fluid dynamic formulation for which a probabilistic counterpart might not be available, we extend the theory of Schroedinger bridges to the case of inertial particles with losses and general, possibly singular diffusion…

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…

In the present paper, we investigate the optimal capital injection behaviour of an insurance company if the interest rate is allowed to become negative. The surplus process of the considered insurance entity is assumed to follow a Brownian…

In this paper we present a very simple way to price a class of barrier options when the underlying process is driven by a huge class of L\'evy processes. To achieve our goal we assume that our market satisfies a symmetry property. In case…

We study an optimal liquidation problem under the ambiguity with respect to price impact parameters. Our main results show that the value function and the optimal trading strategy can be characterized by the solution to a semi-linear PDE…

The investment economy is a main characteristic of prosperous society. The investment portfolio management is a main financial problem, which has to be solved by the investment, commercial and central banks with the application of modern…

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…

We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are…

Several two-boundary problems are solved for a special L\'{e}vy process: the Poisson process with an exponential component. The jumps of this process are controlled by a homogeneous Poisson process, the positive jump size distribution is…

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 revisit Merton's portfolio optimization problem under boun-ded state-dependent utility functions, in a market driven by a L\'evy process $Z$ extending results by Karatzas et. al. (1991) and Kunita (2003). The problem is solved using a…