A Bank Salvage Model by Impulse Stochastic Controls

Autor: Francesco Giuseppe Cordoni, Luca Di Persio, Yilun Jiang

Publikováno v: Risks, Vol 8, Iss 2, p 60 (2020)

The present paper is devoted to the study of a bank salvage model with a finite time horizon that is subjected to stochastic impulse controls. In our model, the bank’s default time is a completely inaccessible random quantity generating its own fil

Externí odkaz: https://doaj.org/article/7c93bf5cf5d74beca0a26691f1d3099a

A bank salvage model by impulse stochastic controls

Autor: Luca Di Persio, Yilun Jiang, Francesco Cordoni

Publikováno v: Risks
Volume 8
Issue 2
Risks, Vol 8, Iss 60, p 60 (2020)

The present paper is devoted to the study of a bank salvage model with a finite time horizon that is subjected to stochastic impulse controls. In our model, the bank&rsquo
s default time is a completely inaccessible random quantity generating it

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6cb16cb3451415a2bbacaa3f7730b232

The smooth-fit property in an exponential Lévy model

Autor: Mohammed Adam Mikou, Damien Lamberton

Publikováno v: Journal of Applied Probability
Journal of Applied Probability, 2012, 49 (1), pp.137-149
Journal of Applied Probability, Cambridge University press, 2012, 49 (1), pp.137-149
Journal of Applied Probability, Applied Probability Trust, 2012, 49 (1), pp.137-149
J. Appl. Probab. 49, no. 1 (2012), 137-149

International audience; We study the smooth-fit property of the American put price with finite maturity in an exponential Lévy model when the underlying stock pays dividends at a continuous rate. As in the perpetual case, a regularity property is su

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8582125af791b39d434139c20f7592c7
https://hal.science/hal-00677327/document

A Mixed Singular/Switching Control Problem for a Dividend Policy with Reversible Technology Investment

Autor: Huyên Pham, Stéphane Villeneuve, Vathana Ly Vath

Publikováno v: Annals of Applied Probability
Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2008, 18 (3), pp.1164-1200
Annals of Applied Probability, 2008, 18 (3), pp.1164-1200
Ann. Appl. Probab. 18, no. 3 (2008), 1164-1200

We consider a mixed stochastic control problem that arises in Mathematical Finance literature with the study of interactions between dividend policy and investment. This problem combines features of both optimal switching and singular control. We pro

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b8684e8caf95ca9367b09cba2c537d32
http://tse-fr.eu/pub/9658

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