Optimality of a barrier strategy in a spectrally negative Lévy model with a level-dependent intensity of bankruptcy

Documenti analoghi

• Optimal withdrawals in a general diffusion model with control rates subject to a state-dependent upper bound
  di: Guérin, Hélène, et al.
  Pubblicazione: (2024)
• Linear-quadratic stochastic Volterra controls II: Optimal strategies and Riccati--Volterra equations
  di: Hamaguchi, Yushi, et al.
  Pubblicazione: (2022)
• Impulse control in a spectrally negative Lévy model with a level-dependent intensity of bankruptcy
  di: Mata, Dante
  Pubblicazione: (2025)
• Linear-quadratic stochastic Volterra controls I: Causal feedback strategies
  di: Hamaguchi, Yushi, et al.
  Pubblicazione: (2022)
• Learning to reflect: A unifying approach for data-driven stochastic control strategies
  di: Christensen, Sören, et al.
  Pubblicazione: (2021)