Huang, Xiaomin; Liu, Wei Poisson stable solutions for stochastic PDEs driven by Lévy noise. (English) Zbl 07796904 J. Differ. Equations 383, 270-323 (2024). MSC: 60H15 49K40 60G51 34C27 PDFBibTeX XMLCite \textit{X. Huang} and \textit{W. Liu}, J. Differ. Equations 383, 270--323 (2024; Zbl 07796904) Full Text: DOI
Shen, Weiwei; Yin, Juliang Optimal investment and consumption strategies for an investor with stochastic economic factor in a defaultable market. (English) Zbl 07792473 RAIRO, Oper. Res. 57, No. 6, 2981-3006 (2023). MSC: 91G10 93E20 49L20 PDFBibTeX XMLCite \textit{W. Shen} and \textit{J. Yin}, RAIRO, Oper. Res. 57, No. 6, 2981--3006 (2023; Zbl 07792473) Full Text: DOI
Yin, Jie; Wong, Hoi Ying Bond portfolio optimization with long-range dependent credits. (English) Zbl 1524.49071 J. Ind. Manag. Optim. 19, No. 10, 7090-7104 (2023). MSC: 49N90 60H30 91B05 91G40 PDFBibTeX XMLCite \textit{J. Yin} and \textit{H. Y. Wong}, J. Ind. Manag. Optim. 19, No. 10, 7090--7104 (2023; Zbl 1524.49071) Full Text: DOI
Xu, Lin; Wang, Linlin; Liu, Xiao; Wang, Hao Optimal active lifetime investment. (English) Zbl 1514.91177 Int. J. Control 96, No. 1, 48-57 (2023). MSC: 91G10 49L20 60J20 PDFBibTeX XMLCite \textit{L. Xu} et al., Int. J. Control 96, No. 1, 48--57 (2023; Zbl 1514.91177) Full Text: DOI
Shen, Weiwei Optimal investment and reinsurance strategies for an insurer with stochastic economic factor. (English) Zbl 07673116 Hacet. J. Math. Stat. 52, No. 1, 197-208 (2023). MSC: 91G05 60G51 93E20 49L20 PDFBibTeX XMLCite \textit{W. Shen}, Hacet. J. Math. Stat. 52, No. 1, 197--208 (2023; Zbl 07673116) Full Text: DOI
Chen, Yan; Li, Tao; Xin, Zhixian Risk-sensitive mean field games with major and minor players. (English) Zbl 1508.91032 ESAIM, Control Optim. Calc. Var. 29, Paper No. 6, 71 p. (2023). MSC: 91A16 49N80 PDFBibTeX XMLCite \textit{Y. Chen} et al., ESAIM, Control Optim. Calc. Var. 29, Paper No. 6, 71 p. (2023; Zbl 1508.91032) Full Text: DOI
Shen, Weiwei; Yin, Juliang Optimal investment and risk control strategies for an insurer subject to a stochastic economic factor in a Lévy market. (English) Zbl 1508.91485 Methodol. Comput. Appl. Probab. 24, No. 4, 2913-2931 (2022). MSC: 91G05 93E20 60G51 91B70 49L20 PDFBibTeX XMLCite \textit{W. Shen} and \textit{J. Yin}, Methodol. Comput. Appl. Probab. 24, No. 4, 2913--2931 (2022; Zbl 1508.91485) Full Text: DOI
Jiang, Chunmei; Li, Tongqing; Yu, Jie Approximating Nash equilibrium for production control with sticky price. (English) Zbl 1525.91037 Oper. Res. Lett. 50, No. 3, 335-342 (2022). MSC: 91A16 49N80 90B30 91A80 91B38 93E20 PDFBibTeX XMLCite \textit{C. Jiang} et al., Oper. Res. Lett. 50, No. 3, 335--342 (2022; Zbl 1525.91037) Full Text: DOI arXiv
Qiu, Ming; Jin, Zhuo; Li, Shuanming Optimal dividend strategies with reinsurance under contagious systemic risk. (English) Zbl 1492.91310 SIAM J. Control Optim. 60, No. 3, 1269-1293 (2022). MSC: 91G05 91G45 93E20 49L12 PDFBibTeX XMLCite \textit{M. Qiu} et al., SIAM J. Control Optim. 60, No. 3, 1269--1293 (2022; Zbl 1492.91310) Full Text: DOI
Shen, Yang; Zou, Bin Mean-variance portfolio selection in contagious markets. (English) Zbl 1489.91239 SIAM J. Financ. Math. 13, No. 2, 391-425 (2022). MSC: 91G10 60G55 93E20 49N10 PDFBibTeX XMLCite \textit{Y. Shen} and \textit{B. Zou}, SIAM J. Financ. Math. 13, No. 2, 391--425 (2022; Zbl 1489.91239) Full Text: DOI arXiv
Jia, Longjie; Pistorius, Martijn; Zheng, Harry Dynamic portfolio optimization with looping contagion risk. (English) Zbl 1411.91513 SIAM J. Financ. Math. 10, No. 1, 1-36 (2019). MSC: 91G10 93E20 35Q91 49L25 PDFBibTeX XMLCite \textit{L. Jia} et al., SIAM J. Financ. Math. 10, No. 1, 1--36 (2019; Zbl 1411.91513) Full Text: DOI arXiv
Bo, Lijun; Capponi, Agostino; Chen, Peng-Chu Credit portfolio selection with decaying contagion intensities. (English) Zbl 1411.91485 Math. Finance 29, No. 1, 137-173 (2019). MSC: 91G10 91G50 35Q91 90C39 49N35 PDFBibTeX XMLCite \textit{L. Bo} et al., Math. Finance 29, No. 1, 137--173 (2019; Zbl 1411.91485) Full Text: DOI
Guo, Jie; Wang, Guojing A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes. (English) Zbl 1406.91473 Front. Math. China 13, No. 3, 535-554 (2018). MSC: 91G40 44A10 49K15 60H30 91G80 PDFBibTeX XMLCite \textit{J. Guo} and \textit{G. Wang}, Front. Math. China 13, No. 3, 535--554 (2018; Zbl 1406.91473) Full Text: DOI
Bo, Lijun; Wang, Shihua Optimal investment and risk control for an insurer with stochastic factor. (English) Zbl 1409.91127 Oper. Res. Lett. 45, No. 3, 259-265 (2017). MSC: 91B30 91G10 49L20 93E20 PDFBibTeX XMLCite \textit{L. Bo} and \textit{S. Wang}, Oper. Res. Lett. 45, No. 3, 259--265 (2017; Zbl 1409.91127) Full Text: DOI
Bo, Lijun; Capponi, Agostino Optimal investment under information driven contagious distress. (English) Zbl 1414.91331 SIAM J. Control Optim. 55, No. 2, 1020-1068 (2017). MSC: 91G10 60J20 49L20 PDFBibTeX XMLCite \textit{L. Bo} and \textit{A. Capponi}, SIAM J. Control Optim. 55, No. 2, 1020--1068 (2017; Zbl 1414.91331) Full Text: DOI arXiv
Capponi, Agostino; Figueroa-López, José E.; Pascucci, Andrea Dynamic credit investment in partially observed markets. (English) Zbl 1323.93073 Finance Stoch. 19, No. 4, 891-939 (2015). MSC: 93E20 91G10 49L20 93E11 60J10 PDFBibTeX XMLCite \textit{A. Capponi} et al., Finance Stoch. 19, No. 4, 891--939 (2015; Zbl 1323.93073) Full Text: DOI arXiv
Li, Xindan; Tang, Dan; Wang, Yongjin; Yang, Xuewei Optimal processing rate and buffer size of a jump-diffusion processing system. (English) Zbl 1306.49031 Ann. Oper. Res. 217, 319-335 (2014). MSC: 49J55 49M30 60J60 60J75 60K25 93E20 PDFBibTeX XMLCite \textit{X. Li} et al., Ann. Oper. Res. 217, 319--335 (2014; Zbl 1306.49031) Full Text: DOI
Tang, Dan; Bo, Lijun Lyapunov exponent estimates of a class of higher-order stochastic Anderson models. (English) Zbl 1149.60044 Proc. Am. Math. Soc. 136, No. 11, 4033-4043 (2008). MSC: 60H15 34A34 49N60 PDFBibTeX XMLCite \textit{D. Tang} and \textit{L. Bo}, Proc. Am. Math. Soc. 136, No. 11, 4033--4043 (2008; Zbl 1149.60044) Full Text: DOI
Bo, Lijun; Jiang, Yiming; Wang, Yongjin On a class of stochastic Anderson models with fractional noises. (English) Zbl 1136.60345 Stochastic Anal. Appl. 26, No. 2, 256-273 (2008). MSC: 60H15 34A34 49N60 PDFBibTeX XMLCite \textit{L. Bo} et al., Stochastic Anal. Appl. 26, No. 2, 256--273 (2008; Zbl 1136.60345) Full Text: DOI