Zobrazeno 1 - 10
of 58
pro vyhledávání: '"Guan, Chonghu"'
This paper studies an optimal dividend payout problem with drawdown constraint in a Brownian motion model, where the dividend payout rate must be no less than a fixed proportion of its historical running maximum. It is a stochastic control problem, w
Externí odkaz:
http://arxiv.org/abs/2312.01668
Autor:
Guan, Chonghu, Xu, Zuo Quan
This paper is concerned with a long standing optimal dividend payout problem subject to the so-called ratcheting constraint, that is, the dividend payout rate shall be non-decreasing over time and is thus self-path-dependent. The surplus process is m
Externí odkaz:
http://arxiv.org/abs/2308.15048
We study Markowitz's mean-variance portfolio selection problem in a continuous-time Black-Scholes market with different borrowing and saving rates. The associated Hamilton-Jacobi-Bellman equation is fully nonlinear. Using a delicate partial different
Externí odkaz:
http://arxiv.org/abs/2201.00914
This paper studies a life-time consumption-investment problem under the Black-Scholes framework, where the consumption rate is subject to a lower bound constraint that linearly depends on her wealth. It is a stochastic control problem with state-depe
Externí odkaz:
http://arxiv.org/abs/2109.06378
In this paper, we study a free boundary problem, which arises from an optimal trading problem of a stock that is driven by a uncertain market status process. The free boundary problem is a variational inequality system of three functions with a degen
Externí odkaz:
http://arxiv.org/abs/2008.07082
This paper studies a dynamic optimal reinsurance and dividend-payout problem for an insurance company in a finite time horizon. The goal of the company is to maximize the expected cumulative discounted dividend payouts until bankruptcy or maturity wh
Externí odkaz:
http://arxiv.org/abs/2008.00391
Publikováno v:
In Journal of Mathematical Analysis and Applications 1 December 2022 516(1)
Publikováno v:
In Journal of Differential Equations 15 November 2022 337:436-459
Autor:
Guan, Chonghu1 (AUTHOR) gchonghu@163.com
Publikováno v:
Applied Mathematics & Optimization. Aug2023, Vol. 88 Issue 1, p1-36. 36p.
In this paper, we investigate an interesting and important stopping problem mixed with stochastic controls and a \textit{nonsmooth} utility over a finite time horizon. The paper aims to develop new methodologies, which are significantly different fro
Externí odkaz:
http://arxiv.org/abs/1507.00934