Tian, Linlin; Li, Guoqing; Lv, You Optimal reinsurance and investment problem with the minimum capital deposit constraint. (English) Zbl 07736113 Commun. Stat., Theory Methods 52, No. 19, 6751-6766 (2023). MSC: 35A09 93E20 PDFBibTeX XMLCite \textit{L. Tian} et al., Commun. Stat., Theory Methods 52, No. 19, 6751--6766 (2023; Zbl 07736113) Full Text: DOI
Wu, Weiping; Zhou, Ke; Li, Zhicheng; Tang, Zhenpeng Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time. (English) Zbl 1518.91252 J. Comput. Appl. Math. 427, Article ID 115103, 19 p. (2023). MSC: 91G10 91G30 93E20 35Q91 PDFBibTeX XMLCite \textit{W. Wu} et al., J. Comput. Appl. Math. 427, Article ID 115103, 19 p. (2023; Zbl 1518.91252) Full Text: DOI
Azcue, Pablo; Liang, Xiaoqing; Muler, Nora; Young, Virginia R. Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle: asymptotic analysis. (English) Zbl 1511.91112 SIAM J. Financ. Math. 14, No. 1, 279-313 (2023). MSC: 91G05 93E20 35B51 PDFBibTeX XMLCite \textit{P. Azcue} et al., SIAM J. Financ. Math. 14, No. 1, 279--313 (2023; Zbl 1511.91112) Full Text: DOI arXiv
Li, Sheng; Qiu, Zhijian Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston’s SV model. (English) Zbl 1507.91186 Optimization 71, No. 14, 4019-4050 (2022). MSC: 91G05 34K50 91A80 35Q91 PDFBibTeX XMLCite \textit{S. Li} and \textit{Z. Qiu}, Optimization 71, No. 14, 4019--4050 (2022; Zbl 1507.91186) Full Text: DOI
Ankirchner, Stefan; Blanchet-Scalliet, Christophette; Kazi-Tani, Nabil; Zhou, Chao Gambling for resurrection and the heat equation on a triangle. (English) Zbl 1489.60069 Appl. Math. Optim. 84, No. 3, 3111-3136 (2021). MSC: 60G44 49L20 35C10 PDFBibTeX XMLCite \textit{S. Ankirchner} et al., Appl. Math. Optim. 84, No. 3, 3111--3136 (2021; Zbl 1489.60069) Full Text: DOI HAL
Yoshioka, Hidekazu; Tsujimura, Motoh; Hamagami, Kunihiko; Yaegashi, Yuta; Yoshioka, Yumi HJB and Fokker-Planck equations for river environmental management based on stochastic impulse control with discrete and random observation. (English) Zbl 1524.92128 Comput. Math. Appl. 96, 131-154 (2021). MSC: 92D40 93E20 93C27 65M06 35Q84 49L12 PDFBibTeX XMLCite \textit{H. Yoshioka} et al., Comput. Math. Appl. 96, 131--154 (2021; Zbl 1524.92128) Full Text: DOI arXiv
Liu, YongGe; Chen, Xu; Zhuo, WenYan Dividends under threshold dividend strategy with randomized observation periods and capital-exchange agreement. (English) Zbl 1426.91298 J. Comput. Appl. Math. 366, Article ID 112426, 15 p. (2020). MSC: 91G50 35R09 91G60 PDFBibTeX XMLCite \textit{Y. Liu} et al., J. Comput. Appl. Math. 366, Article ID 112426, 15 p. (2020; Zbl 1426.91298) Full Text: DOI
Yoshioka, Hidekazu A simplified stochastic optimization model for logistic dynamics with control-dependent carrying capacity. (English) Zbl 1448.92388 J. Biol. Dyn. 13, No. 1, 148-176 (2019). MSC: 92D40 92D25 93E20 34H05 35D40 65M06 PDFBibTeX XMLCite \textit{H. Yoshioka}, J. Biol. Dyn. 13, No. 1, 148--176 (2019; Zbl 1448.92388) Full Text: DOI
Li, Danping; Young, Virginia R. Optimal reinsurance to minimize the discounted probability of ruin under ambiguity. (English) Zbl 1410.91274 Insur. Math. Econ. 87, 143-152 (2019). MSC: 91B30 90C15 35Q91 PDFBibTeX XMLCite \textit{D. Li} and \textit{V. R. Young}, Insur. Math. Econ. 87, 143--152 (2019; Zbl 1410.91274) Full Text: DOI
Annunziato, Mario; Borzì, Alfio A Fokker-Planck control framework for stochastic systems. (English) Zbl 1406.93383 EMS Surv. Math. Sci. 5, No. 1-2, 65-98 (2018). MSC: 93E20 60K15 49K45 35F21 35K57 35Q84 49J20 49L20 65C20 65H10 60H25 65K15 90C39 PDFBibTeX XMLCite \textit{M. Annunziato} and \textit{A. Borzì}, EMS Surv. Math. Sci. 5, No. 1--2, 65--98 (2018; Zbl 1406.93383) Full Text: DOI
Renault, Vincent; Thieullen, Michèle; Trélat, Emmanuel Optimal control of infinite-dimensional piecewise deterministic Markov processes and application to the control of neuronal dynamics via optogenetics. (English) Zbl 1376.93118 Netw. Heterog. Media 12, No. 3, 417-459 (2017). MSC: 93E20 60J25 35K58 49L20 92C20 92C45 90C39 PDFBibTeX XMLCite \textit{V. Renault} et al., Netw. Heterog. Media 12, No. 3, 417--459 (2017; Zbl 1376.93118) Full Text: DOI arXiv
Robertson, Scott; Xing, Hao Long-term optimal investment in matrix valued factor models. (English) Zbl 1367.91169 SIAM J. Financ. Math. 8, 400-434 (2017). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G10 60J60 60H30 49J20 35K58 35R60 PDFBibTeX XMLCite \textit{S. Robertson} and \textit{H. Xing}, SIAM J. Financ. Math. 8, 400--434 (2017; Zbl 1367.91169) Full Text: DOI arXiv
Fouque, J.-P.; Papanicolaou, A.; Sircar, R. Perturbation analysis for investment portfolios under partial information with expert opinions. (English) Zbl 1414.91337 SIAM J. Control Optim. 55, No. 3, 1534-1566 (2017). MSC: 91G10 93E11 35Q93 93C70 90C39 PDFBibTeX XMLCite \textit{J. P. Fouque} et al., SIAM J. Control Optim. 55, No. 3, 1534--1566 (2017; Zbl 1414.91337) Full Text: DOI
Dang, D. M.; Forsyth, P. A. Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach. (English) Zbl 1348.91250 Eur. J. Oper. Res. 250, No. 3, 827-841 (2016). MSC: 91G10 35Q91 49L20 60H30 62P05 93E20 PDFBibTeX XMLCite \textit{D. M. Dang} and \textit{P. A. Forsyth}, Eur. J. Oper. Res. 250, No. 3, 827--841 (2016; Zbl 1348.91250) Full Text: DOI
Zhou, Liuwei; Wang, Zhijie Portfolio strategy of financial market with regime switching driven by geometric Lévy process. (English) Zbl 1406.91430 Abstr. Appl. Anal. 2014, Article ID 538041, 9 p. (2014). MSC: 91G10 91G20 60G51 35Q91 PDFBibTeX XMLCite \textit{L. Zhou} and \textit{Z. Wang}, Abstr. Appl. Anal. 2014, Article ID 538041, 9 p. (2014; Zbl 1406.91430) Full Text: DOI
Ma, Xue-Min; Luo, Kui; Wang, Guang-Ming; Hu, Yi-Jun Constant barrier strategies in a two-state Markov-modulated dual risk model. (English) Zbl 1268.91171 Acta Math. Appl. Sin., Engl. Ser. 27, No. 4, 679-690 (2011). MSC: 91G50 60J05 60J22 35Q91 PDFBibTeX XMLCite \textit{X.-M. Ma} et al., Acta Math. Appl. Sin., Engl. Ser. 27, No. 4, 679--690 (2011; Zbl 1268.91171) Full Text: DOI