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Minimal expected time in drawdown through investment for an insurance diffusion model

Brinker, Leonie Violetta - In: Risks : open access journal 9 (2021) 1/17, pp. 1-18

Consider an insurance company whose surplus is modelled by an arithmetic Brownian motion of not necessarily positive drift. Additionally, the insurer has the possibility to invest in a stock modelled by a geometric Brownian motion independent of the surplus. Our key variable is the (absolute)...

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Driver positioning and incentive budgeting with an escrow mechanism for ride-sharing platforms

Ong, Hao Yi; Freund, Daniel; Crapis, Davide - In: INFORMS journal on applied analytics 51 (2021) 4, pp. 373-390

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Supplementary file for "Sup-inf/inf-sup problem on choice of a probability measure by FBSDE approach"

Saito, Taiga; Takahashi, Akihiko - 2021

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A Hilbert transform approach for controlled jump-diffusions with financial applications

Ge, Yingming; Li, Lingfei - In: International journal of financial engineering 7 (2020) 4, pp. 1-46

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Driver positioning and incentive budgeting with an escrow mechanism for ride-sharing platforms

Ong, Hao Yi; Freund, Daniel; Crapis, Davide - In: INFORMS journal on applied analytics 51 (2021) 5, pp. 373-390

Persistent link: https://www.econbiz.de/10012804945

Supplementary file for "sup-inf/inf-sup problem on choice of a probability measure by FBSDE approach"

Saito, Taiga; Takahashi, Akihiko - 2021 - Revised in March 2021

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Optimal liquidation strategy for cryptocurrency marketplaces using stochastic control

Kubo, Kenji; Nakagawa, Kei; Mizukami, Daiki; Acharya, Dipesh - In: Finance research letters 53 (2023), pp. 1-7

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On singular control for Lévy processes

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New venture creation : a drift-variance diffusion control model

Wang, Zhengli; Zenios, Stefanos - In: Operations research 70 (2022) 5, pp. 2982-2997

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