This paper is concerned with a finite-horizon optimal investment and consumption problem in continuous-time regime-switching models. The market consists of one bond and n ≥ 1 correlated stocks. An investor distributes his/her wealth among these assets and consumes at a non-negative rate. The...

<Para ID="Par1">We study an optimal execution problem in a continuous-time market model that considers market impact. We formulate the problem as a stochastic control problem and investigate properties of the corresponding value function. We find that right-continuity at the time origin is associated with the...</para>

In this paper, we study the optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk model. The insurer is allowed to purchase reinsurance and invest in one risk-free asset and one risky asset whose price process satisfies the Heston model. The...