Search Results - subject:"Diffusion approximation"

Asymptotic analysis of a Stackelberg differential game for insurance under model ambiguity

Cao, Jingyi; Young, Virginia R. - In: Scandinavian actuarial journal 2023 (2023) 6, pp. 598-623

Persistent link: https://www.econbiz.de/10014383863

Optimal liquidation, acquisition and market making problems in HFT under Hawkes models for LOB

Contreras, Ana Roldan; Sviščuk, Anatolij - In: Risks : open access journal 10 (2022) 8, pp. 1-32

The present paper is focused on the solution of optimal control problems such as optimal acquisition, optimal liquidation, and market making in relation to the high-frequency trading market. We have modeled optimal control problems with the price approximated by the diffusion process for the...

Persistent link: https://www.econbiz.de/10013368241

Diffusion approximations of the ruin probability for the insurer-Reinsurer model driven by a renewal process

Burnecki, Krzysztof; Teuerle, Marek A.; Wilkowska, … - In: Risks : open access journal 10 (2022) 6, pp. 1-16

, for the Poisson process, a De Vylder-type approximation has already been introduced. The idea of the diffusion … approximation presented here is based on the weak convergence of stochastic processes, which enables one to replace the original …

Persistent link: https://www.econbiz.de/10013359170

Weak signal asymptotics for sequentially randomized experiments

Xu, Kuang; Wager, Stefan - In: Management science : journal of the Institute for … 70 (2024) 10, pp. 7024-7041

Persistent link: https://www.econbiz.de/10015142257

A time-dependent Markovian model of a limit order book

Chávez Casillas, Jonathan A. - In: Computational economics 63 (2024) 2, pp. 679-709

Persistent link: https://www.econbiz.de/10014472546

High-order steady-state diffusion approximations

Braverman, Anton; Dai, J. G.; Fang, Xiao - In: Operations research 72 (2024) 2, pp. 604-616

Persistent link: https://www.econbiz.de/10014520812

Merton investment problems in finance and insurance for the Hawkes-Based models

Sviščuk, Anatolij - In: Risks 9 (2021) 6, pp. 1-13

We show how to solve Merton optimal investment stochastic control problem for Hawkesbased models in finance and insurance (Propositions 1 and 2), i.e., for a wealth portfolio X(t) consisting of a bond and a stock price described by general compound Hawkes process (GCHP), and for a capital R(t)...

Persistent link: https://www.econbiz.de/10013200776

Merton investment problems in finance and insurance for the Hawkes-Based models

Sviščuk, Anatolij - In: Risks : open access journal 9 (2021) 6, pp. 1-13

Persistent link: https://www.econbiz.de/10012598381

Assortment by group founders always promotes the evolution of cooperation under global selection but can oppose it under local selection

Martin, Éloi; Lessard, Sabin - In: Dynamic games and applications : DGA 13 (2023) 4, pp. 1194-1218

Persistent link: https://www.econbiz.de/10014553204

Non asymptotic controls on a stochastic algorithm for superquantile approximation

Costa, Manon; Gadat, Sébastien - 2020

Persistent link: https://www.econbiz.de/10012316959