In this paper we concentrate on testing for multiple changes in the mean of a series of independent random variables. Suggested method applies a maximum type test statistic. Our primary focus is on an effective calculation of critical values for very large sample sizes comprising (tens of)...

We study the stochastic control problem of maximizing expected utility from terminal wealth under a nonbankruptcy constraint. The problem of the agent is to derive the optimal insurance strategy which reduces his exposure to the risk. This optimization problem is related to a suitable dual...

In the present paper we investigate the problem of the existence of a value for differential games without Isaacs condition. For this we introduce a suitable concept of mixed strategies along a partition of the time interval, which are associated with classical nonanticipative strategies (with...

We consider the optimal dividend distribution problem of a financial corporation whose surplus is modeled by a general diffusion process with both the drift and diffusion coefficients depending on the external economic regime as well as the surplus itself through general functions. The aim is to...

We investigate an optimal asset allocation problem in a Markovian regime-switching financial market with stochastic interest rate. The market has three investment opportunities, namely, a bank account, a share and a zero-coupon bond, where stochastic movements of the short rate and the share...