相关论文: Two Approaches for a Dividend Maximization Problem…

In this paper, we consider the optimal dividend problem for a company. We describe the surplus process of the company by a diffusion model with regime switching. The aim of the company is to choose a dividend policy to maximize the expected…

An optimal control problem related to the probability of transition between stable states for a thermally driven Ginzburg-Landau equation is considered. The value function for the optimal control problem with a spatial discretization is…

In this paper, we study the optimal investment problem of an insurer whose surplus process follows the diffusion approximation of the classical Cramer-Lundberg model. Investment in the foreign market is allowed, and therefore, the foreign…

We study the problem of dynamically trading a futures contract and its underlying asset under a stochastic basis model. The basis evolution is modeled by a stopped scaled Brownian bridge to account for non-convergence of the basis at…

We provide a unified approach to find equilibrium solutions for time-inconsistent problems with distribution dependent rewards, which are important to the study of behavioral finance and economics. Our approach is based on {\it equilibrium…

We study the exponential Ornstein-Uhlenbeck stochastic volatility model and observe that the model shows a multiscale behavior in the volatility autocorrelation. It also exhibits a leverage correlation and a probability profile for the…

Optimal stopping is the problem of determining when to stop a stochastic system in order to maximize reward, which is of practical importance in domains such as finance, operations management and healthcare. Existing methods for…

In this paper we assume the insurance wealth process is driven by the compound Poisson process. The discounting factor is modelled as a geometric Brownian motion at first and then as an exponential function of an integrated…

This paper presents a method to approximately solve stochastic optimal control problems in which the cost function and the system dynamics are polynomial. For stochastic systems with polynomial dynamics, the moments of the state can be…

In this paper, we explore a new class of stochastic control problems characterized by specific control constraints. Specifically, the admissible controls are subject to the ratcheting constraint, meaning they must be non-decreasing over…

This paper focuses on stochastic optimal control problems with constraints in law, which are rewritten as optimization (minimization) of probability measures problem on the canonical space. We introduce a penalized version of this type of…

In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…

In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…

In this paper we deal with stochastic optimization problems where the data distributions change in response to the decision variables. Traditionally, the study of optimization problems with decision-dependent distributions has assumed…

We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to transform the marginal constraint into an…

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…

The question addressed in this paper is the performance of the optimal strategy, and the impact of partial information. The setting we consider is that of a stochastic asset price model where the trend follows an unobservable…

We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…

In this paper, we investigate trading strategies based on exponential moving averages (ExpMAs) of an underlying risky asset. We study both logarithmic utility maximization and long-term growth rate maximization problems and find closed-form…

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…