This paper considers a variant of Itô’s formula for discontinuous semimartingales and non-C2 functions. This result is particularly helpful for insurance control problems with Markov-modulated components. An example of a dividend barrier strategy for a Brownian risk model with Markov-switching illustrates the result
We give conditions under which the flow of marginal distributions of a discontinuous semimartingale ...
Extending Itô's formula to non-smooth functions is important both in theory and applications. One of...
This paper analyzes the continuity and differentiability of several classes of ruin functions under ...
The Ito formula is the fundamental theorem of stochastic calculus. This short note presents a new pr...
We show that the marginal distribution of a semimartingale can be matched by a Markov process. This ...
In this note we prove that the local martingale part of a convex function f of a d-dimensional semim...
Summary. A generalized Ito ̂ formula for time dependent functions of two-dimensional continuous semi...
In this note, the problem of stochastic stability for linear systems with jump parameters being semi...
This paper shows a version of Arrow's generalization of Mangasarian's sufficient conditions valid fo...
Risk measure is a fundamental concept in finance and in the insurance industry. It is used to adjust...
We consider a Markovian regime-switching risk model (also called the Markov-modulated risk model) wi...
In the first part of this thesis we apply stochastic calculus via regularization to model financial ...
This PhD thesis studies various mathematical aspects of problems related to the Markovian projection...
International audienceThis paper does not suppose a priori that the evolution of the price of a fina...
AbstractThis paper does not suppose a priori that the evolution of the price of a financial asset is...
We give conditions under which the flow of marginal distributions of a discontinuous semimartingale ...
Extending Itô's formula to non-smooth functions is important both in theory and applications. One of...
This paper analyzes the continuity and differentiability of several classes of ruin functions under ...
The Ito formula is the fundamental theorem of stochastic calculus. This short note presents a new pr...
We show that the marginal distribution of a semimartingale can be matched by a Markov process. This ...
In this note we prove that the local martingale part of a convex function f of a d-dimensional semim...
Summary. A generalized Ito ̂ formula for time dependent functions of two-dimensional continuous semi...
In this note, the problem of stochastic stability for linear systems with jump parameters being semi...
This paper shows a version of Arrow's generalization of Mangasarian's sufficient conditions valid fo...
Risk measure is a fundamental concept in finance and in the insurance industry. It is used to adjust...
We consider a Markovian regime-switching risk model (also called the Markov-modulated risk model) wi...
In the first part of this thesis we apply stochastic calculus via regularization to model financial ...
This PhD thesis studies various mathematical aspects of problems related to the Markovian projection...
International audienceThis paper does not suppose a priori that the evolution of the price of a fina...
AbstractThis paper does not suppose a priori that the evolution of the price of a financial asset is...
We give conditions under which the flow of marginal distributions of a discontinuous semimartingale ...
Extending Itô's formula to non-smooth functions is important both in theory and applications. One of...
This paper analyzes the continuity and differentiability of several classes of ruin functions under ...
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