相关论文: Dynamic exponential utility indifference valuation
In this paper we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial…
We study a reaction-diffusion system on the real line, where the reactions of the species are given by one reversible reaction according to the mass-action law. We describe different positive limits at both sides of infinity and investigate…
We consider the initial-value problem for the one-dimensional, time-dependent wave equation with positive, Lipschitz continuous coefficients, which are constant outside a bounded region. Under the assumption of compact support of the…
In this paper we investigate the pricing problem of a pure endowment contract when the insurer has a limited information on the mortality intensity of the policyholder. The payoff of this kind of policies depends on the residual life time…
We study the expected utility maximization problem of a large investor who is allowed to make transactions on tradable assets in an incomplete financial market with endogenous permanent market impacts. The asset prices are assumed to follow…
Asymptotic stability in economic receding horizon control can be obtained under a strict dissipativity assumption, related to positive-definiteness of a so-called rotated cost, and through the use of suitable terminal cost and constraints.…
We analyze infinite-dimensional non-linear degenerate stochastic differential equations with multiplicative noise. First, essential m-dissipativity of their associated Kolmogorov backward generators on $L^2(\mu^{\Phi})$ defined on smooth…
The problem of robust utility maximization in an incomplete market with volatility uncertainty is considered, in the sense that the volatility of the market is only assumed to lie between two given bounds. The set of all possible models…
We study superreplication of European contingent claims in discrete time in a large trader model with market indifference prices recently proposed by Bank and Kramkov. We introduce a suitable notion of efficient friction in this framework,…
The aim of this paper is to investigate discrete approximations of the exponential functional $\int_0^{\infty} \exp(B(t) - \nu t) \di t$ of Brownian motion (which plays an important role in Asian options of financial mathematics) by the…
The paper is concerned with asymptotic properties of the principal components analysis of functional data. The currently available results assume the existence of the fourth moment. We develop analogous results in a setting which does not…
The paper deals with the explicit calculus and the properties of the fundamental solution K of a parabolic operator related to a semilinear equation that models reaction diffusion systems with excitable kinetics. The initial value problem…
Probabilistic principal component analysis (PCA) and its Bayesian variant (BPCA) are widely used for dimension reduction in machine learning and statistics. The main advantage of probabilistic PCA over the traditional formulation is…
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…
Standard dynamical systems approaches to economic modeling, such as those deriving the Cobb-Douglas and CES production functions from exponential growth trajectories, typically rely on integer-order differential equations. While effective,…
This paper is concerned with risk-sensitive performance analysis for linear quantum stochastic systems interacting with external bosonic fields. We consider a cost functional in the form of the exponential moment of the integral of a…
In this paper we study a robust utility maximization problem in continuous time under model uncertainty. The model uncertainty is governed by a continuous semimartingale with uncertain local characteristics. Here, the differential…
In this paper we investigate the uniform exponential stability of the system $\frac{dx(t)}{dt}=Ax(t)-\rho Bx(t), \; (\rho >0), $ where the unbounded operator $A$ is the infinitesimal generator of a linear $C_0-$semigroup of contractions…
A key issue in the estimation of energy hedges is the hedgers' attitude towards risk which is encapsulated in the form of the hedgers' utility function. However, the literature typically uses only one form of utility function such as the…
The comparative statics of the optimal portfolios across individuals is carried out for a continuous-time complete market model, where the risky assets price process follows a joint geometric Brownian motion with time-dependent and…