The goal of this paper is to provide a novel quantitative framework to describe the Bitcoin
price behavior, estimate model parameters and study the pricing problem for Bitcoin …

In this paper, we investigate an optimal investment and excess-of-loss reinsurance problem
with delay and jump–diffusion risk process for an insurer. Specifically, the insurer is allowed …

This paper considers an optimal investment and excess-of-loss reinsurance problem with
delay for an insurer under Heston's stochastic volatility (SV) model. Suppose that the insurer …

Abstract The original Ait-Sahalia model of the spot interest rate proposed by Ait-Sahalia
assumes constant volatility. As supported by several empirical studies, volatility is never …

We present a robust version of the life-cycle optimal portfolio choice problem in the presence
of labor income, as introduced in Biffis, Gozzi, and Prosdocimi [SIAM J. Control Optim., 58 …

The present article proposes a methodology for modeling the evolution of stock market
indexes for 2020 using geometric Brownian motion (GBM), but in which drift and diffusion …

In this paper, we solve an open problem and obtain a general maximum principle for a
stochastic optimal control problem where the control domain is an arbitrary nonempty set …

In this paper, we study the analytical properties of the true solution to the generalised delay
Ait-Sahalia-type interest rate model with Poisson-driven jumps. Since this model does not …

In this paper, we study the stochastic optimal control problem for control systems with time-
varying delay. The corresponding state equation is a kind of stochastic differential delay …

In this paper, an open problem is solved, for the stochastic optimal control problem with
delay where the control domain is nonconvex and the diffusion term contains both control …