We study a portfolio selection problem in a continuous-time Itô-Markov additive market with prices of financial assets described by Markov additive processes that combine Lévy processes and regime switching models. Thus, the model takes into account two sources of risk: the jump diffusion risk...

We study an infinite horizon optimal stopping Markov problem which is either undiscounted (total reward) or with a general Markovian discount rate. Using ergodic properties of the underlying Markov process, we establish the feasibility of the stopping problem and prove the existence of optimal...

In the paper a discrete time manufacturing system consisting of a machine that produces one kind of goods so as to meet a random demand that is modelized by a finite state ergodic Markov chain is considered. Using a discounted cost approximation an average cost per unit time control problem is...

In the paper a discrete time manufacturing system consisting of a machine that produces one kind of goods so as to meet a random demand that is modelized by a finite state ergodic Markov chain is considered. Using a discounted cost approximation an average cost per unit time control problem is...

We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival times depending on the claims that arrive within a fixed (past) time window. This dependence could be explained through a regenerative structure. The main inspiration of the model comes from the bonus-malus...