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In this work, we study the equilibrium reinsurance/new business and investment strategy for mean–variance insurers with constant risk aversion. The insurers are allowed to purchase proportional… (More)
The main objective of this paper is to explore the relationship between the stochastic maximum principle (SMP in short) and dynamic programming principle (DPP in short), for singular control problems… (More)
The paper  examines a concept of equilibrium policies instead of optimal controls in stochastic optimization to analyze a mean-variance portfolio selection problem. We follow the same approach in… (More)
Abstract This paper is concerned with necessary as well as sufficient conditions for near-optimality of controlled jump diffusion processes. Necessary conditions for a control to be near-optimal are… (More)
Abstract This paper is concerned with the study of a stochastic control problem, where the controlled system is described by a stochastic differential equation (SDE) driven by a Poisson random… (More)
The present paper studies the stochastic maximum principle in singular optimal control, where the state is governed by a stochastic differential equation With nonsmooth coefficients, allowing both ...
This paper investigates the relationship between the stochastic maximum principle and the dynamic programming principle for singular stochastic control problems. The state of the system under… (More)
The aim of this paper is to prove a sufficient stochastic maximum principle for the optimal control of systems driven by normal martingales. We also show the relationship between stochastic maximum… (More)
In this paper we discuss stochastic control models which are described by a stochastic differential equation of mean-field type, in the sense that the coefficients are permitted to depend on the… (More)
Abstract A numerical solution of the stochastic fractional order Korteweg-de Vries equation arising in oceanography and plasma physics is approximated using a novel spectral/finite difference tool.… (More)