相关论文: On the optimality of the refraction--reflection st…
Fractional Fokker-Planck equation plays an important role in describing anomalous dynamics. To the best of our knowledge, the existing discussions mainly focus on this kind of equation involving one diffusion operator. In this paper, we…
We consider a jump-diffusion process on a bounded domain with reflection at the boundary, and establish long-term results for a general additive process of its path. This includes the long-term behaviour of its occupation time in the…
In this paper we study the optimal stochastic control problem for stochastic differential systems reflected in a domain. The cost functional is a recursive one, which is defined via generalized backward stochastic differential equations…
We consider the impulse control of Levy processes under the infinite horizon, discounted cost criterion. Our motivating example is the cash management problem in which a controller is charged a fixed plus proportional cost for adding to or…
In this paper, we construct a solution to the optimal contract problem for delegated portfolio management of the fist-best (risk-sharing) type. The novelty of our result is (i) in the robustness of the optimal contract with respect to…
This paper considers a L\'evy-driven queue (i.e., a L\'evy process reflected at 0), and focuses on the distribution of $M(t)$, that is, the minimal value attained in an interval of length $t$ (where it is assumed that the queue is in…
This paper is concerned with the problem of finding the optimal of extraction policies of an oil field in light of various financial and economical restrictions and constraints. Taking into account the fact that the oil price in worldwide…
Suppose Xt is either a regular exponential type Levy process or a Levy process with a bounded variation jumps measure. The distribution of the extrema of Xt play a crucial role in many financial and actuarial problems. This article employs…
We study a stochastic control problem where the underlying process follows a spectrally negative L\'{e}vy process. A controller can continuously increase the process but only decrease it at independent Poisson arrival times. We show the…
We present a class of L\'evy processes for modelling financial market fluctuations: Bilateral Gamma processes. Our starting point is to explore the properties of bilateral Gamma distributions, and then we turn to their associated L\'evy…
This paper is devoted to an optimal control problem of fully coupled forward-backward stochastic differential equations driven by sub-diffusion, whose solutions are not Markov processes. The stochastic maximum principle is obtained, where…
In this paper, we deal with a class of reflected backward stochastic differential equations associated to the subdifferential operator of a lower semi-continuous convex function driven by Teugels martingales associated with L\'{e}vy…
We construct a Hunt process that can be described as an isotropic $\alpha$-stable L\'evy process reflected from the complement of a bounded open Lipschitz set. In fact, we introduce a new analytic method for concatenating Markov processes.…
This paper provides a framework for investigations in fluctuation theory for L\'evy processes with matrix-exponential jumps. We present a matrix form of the components of the infinitely divisible factorization. Using this representation we…
This study considers an optimal reinsurance, investment, and dividend strategy control problem for insurance companies in a regulated Markov regime-switching environment, intending to maximize long-run average reward. Unlike existing single…
In this paper, as a first step in examining the properties of a feasible portfolio subset that is characterized by budget and risk constraints, we assess the maximum and minimum of the investment concentration using replica analysis. To do…
We investigate an optimal investment problem with a general performance criterion which, in particular, includes discontinuous functions. Prices are modeled as diffusions and the market is incomplete. We find an explicit solution for the…
We consider a real options model for the optimal irreversible investment problem of a profit maximizing company. The company has the opportunity to invest into a production plant capable of producing two products, of which the prices follow…
In this paper we show existence and uniqueness of the solution in viscosity sense for a system of nonlinear $m$ variational integral-partial differential equations with interconnected obstacles whose coefficients $(f_i)_{i=1,\cdots, m}$…
Consider a one-dimensional diffusion process which has state-dependent drift and deviation and is reflected at the origin, which is called a one-side reflected diffusion or simply reflected diffusion. We are particularly interested in the…