| Publication | Date of Publication | Type |
|---|
Optimal dividends and capital injection: a general Lévy model with extensions to regime-switching models
Insurance Mathematics & Economics | 2025-01-17 | Paper |
Lévy bandits under Poissonian decision times
| 2024-10-31 | Paper |
A series expansion formula of the scale matrix with applications in CUSUM analysis
Stochastic Processes and their Applications | 2024-03-04 | Paper |
On Singular Control for Lévy Processes
Mathematics of Operations Research | 2024-02-27 | Paper |
Double continuation regions for American options under Poisson exercise opportunities
Mathematical Finance | 2023-09-28 | Paper |
Refraction strategies in stochastic control: optimality for a general L\'evy process model
| 2023-08-16 | Paper |
Optimality of Two-Parameter Strategies in Stochastic Control
XII Symposium of Probability and Stochastic Processes | 2023-07-21 | Paper |
Optimal dividends and capital injection: A general L\'evy model with extensions to regime-switching models
| 2023-06-21 | Paper |
The Gerber-Shiu discounted penalty function: a review from practical perspectives
Insurance Mathematics & Economics | 2023-02-22 | Paper |
A Jump Ornstein-Uhlenbeck Bridge Based on Energy-optimal Control and Its Self-exciting Extension
| 2023-02-20 | Paper |
On stochastic control under Poisson observations: optimality of a barrier strategy in a general L\'evy model
| 2022-10-02 | Paper |
Detection and identification of changes of hidden Markov chains: asymptotic theory
Statistical Inference for Stochastic Processes | 2022-06-01 | Paper |
Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models
SIAM Journal on Financial Mathematics | 2021-11-05 | Paper |
Non-zero-sum optimal stopping game with continuous versus periodic observations
| 2021-07-17 | Paper |
Optimal periodic replenishment policies for spectrally positive Lévy demand processes
SIAM Journal on Control and Optimization | 2020-11-27 | Paper |
The Leland-Toft optimal capital structure model under Poisson observations
Finance and Stochastics | 2020-11-11 | Paper |
Optimality of hybrid continuous and periodic barrier strategies in the dual model
Applied Mathematics and Optimization | 2020-07-17 | Paper |
Fluctuation theory for level-dependent Lévy risk processes
Stochastic Processes and their Applications | 2019-12-17 | Paper |
Optimality of refraction strategies for a constrained dividend problem
Advances in Applied Probability | 2019-12-09 | Paper |
On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models
Journal of Applied Probability | 2019-01-17 | Paper |
Optimality of multi-refraction control strategies in the dual model
Insurance Mathematics & Economics | 2018-11-19 | Paper |
American options under periodic exercise opportunities
Statistics & Probability Letters | 2018-07-03 | Paper |
On optimal periodic dividend strategies for Lévy risk processes
Insurance Mathematics & Economics | 2018-06-15 | Paper |
Refraction-reflection strategies in the dual model
ASTIN Bulletin | 2018-06-04 | Paper |
PHASE-TYPE APPROXIMATION OF THE GERBER-SHIU FUNCTION
Journal of the Operations Research Society of Japan | 2017-12-11 | Paper |
Spectrally negative Lévy processes with Parisian reflection below and classical reflection above
Stochastic Processes and their Applications | 2017-12-01 | Paper |
On the refracted-reflected spectrally negative Lévy processes
Stochastic Processes and their Applications | 2017-12-01 | Paper |
On the optimality of periodic barrier strategies for a spectrally positive Lévy process
Insurance Mathematics & Economics | 2017-11-23 | Paper |
Inventory Control for Spectrally Positive Lévy Demand Processes
Mathematics of Operations Research | 2017-04-13 | Paper |
On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models
Insurance Mathematics & Economics | 2017-01-31 | Paper |
Mixed Periodic-classical barrier strategies for L\'evy risk processes
| 2016-09-06 | Paper |
Optimality of refraction strategies for spectrally negative Lévy processes
SIAM Journal on Control and Optimization | 2016-05-20 | Paper |
Optimal double stopping of a Brownian bridge
Advances in Applied Probability | 2016-02-12 | Paper |
An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
International Journal of Theoretical and Applied Finance | 2015-09-22 | Paper |
Contraction options and optimal multiple-stopping in spectrally negative Lévy models
Applied Mathematics and Optimization | 2015-09-17 | Paper |
Optimal multiple stopping with negative discount rate and random refraction times under Lévy models
SIAM Journal on Control and Optimization | 2015-08-20 | Paper |
Optimality of doubly reflected Lévy processes in singular control
Stochastic Processes and their Applications | 2015-06-11 | Paper |
Games of singular control and stopping driven by spectrally one-sided Lévy processes
Stochastic Processes and their Applications | 2014-11-07 | Paper |
Cash Management and Control Band Policies for Spectrally One-sided Levy Processes
| 2014-10-27 | Paper |
Phase-type Fitting of scale functions for spectrally negative Lévy processes
Journal of Computational and Applied Mathematics | 2014-07-16 | Paper |
Optimal dividends in the dual model under transaction costs
Insurance Mathematics & Economics | 2014-06-23 | Paper |
Optimal capital structure with scale effects under spectrally negative Lévy models
International Journal of Theoretical and Applied Finance | 2014-06-19 | Paper |
On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models
Advances in Applied Probability | 2014-05-09 | Paper |
Precautionary measures for credit risk management in jump models
Stochastics | 2014-04-25 | Paper |
On optimal dividends in the dual model
ASTIN Bulletin | 2014-02-27 | Paper |
American step-up and step-down default swaps under Lévy models
Quantitative Finance | 2014-02-08 | Paper |
Asymptotically optimal Bayesian sequential change detection and identification rules
Annals of Operations Research | 2013-11-12 | Paper |
Default swap games driven by spectrally negative Lévy processes
Stochastic Processes and their Applications | 2013-01-24 | Paper |
Index policies for discounted bandit problems with availability constraints
Advances in Applied Probability | 2008-08-05 | Paper |
