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Found 222 Documents (Results 1–100)

Optimal control of investment in a collective pension insurance model: study of singular nonlinear problems for integro-differential equations. (English. Russian original) Zbl 1500.91110

Comput. Math. Math. Phys. 62, No. 9, 1438-1454 (2022); translation from Zh. Vychisl. Mat. Mat. Fiz. 62, No. 9, 1473-1490 (2022).
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Solvency of an insurance company in a dual risk model with investment: analysis and numerical study of singular boundary value problems. (English. Russian original) Zbl 1443.91251

Comput. Math. Math. Phys. 59, No. 11, 1904-1927 (2019); translation from Zh. Vychisl. Mat. Mat. Fiz. 59, No. 11, 1973-1997 (2019).
MSC:  91G05 91G60 65N99
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2D Gauss-Hermite quadrature method for jump-diffusion PIDE option pricing models. (English) Zbl 1418.91600

Constanda, Christian (ed.) et al., Integral methods in science and engineering, Volume 2. Practical applications. Based on talks given at the 14th international conference, Padova, Italy, July 25–29, 2016. Basel: Birkhäuser/Springer. 137-145 (2017).
MSC:  91G60 91G20 65M06 45K05 60J75
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Analytic-numerical investigations of singular problems for survival probability in the dual risk model with simple investment strategies. (English) Zbl 1407.91134

Rykov, Vladimir V. (ed.) et al., Analytical and computational methods in probability theory. First international conference, ACMPT 2017, Moscow, Russia, October 23–27, 2017. Proceedings. Cham: Springer. Lect. Notes Comput. Sci. 10684, 236-250 (2017).
MSC:  91B30 45F15
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Pricing derivatives under Lévy models. Modern finite-difference and pseudo-differential operators approach. (English) Zbl 1419.91002

Pseudo-Differential Operators. Theory and Applications 12. Basel: Birkhäuser/Springer (ISBN 978-1-4939-6790-2/pbk; 978-1-4939-6792-6/ebook). xx, 308 p. (2017).
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Viscosity solutions of integro-differential equations for nonruin probabilities. (English. Russian original) Zbl 1415.91150

Theory Probab. Appl. 60, No. 4, 671-679 (2016); translation from Teor. Veroyatn. Primen. 60, No. 4, 802-810 (2015).
MSC:  91B30 45K05 60G51 49L25
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Stationary state in a multistage auction model. (English) Zbl 1347.91158

Petrosyan, Leon A. (ed.) et al., Contributions to game theory and management. Volume VII. The 7th international conference on game theory and management (GTM 2013), St. Petersburg, Russia, June 26–28, 2013. Collected papers. St. Petersburg: Graduate School of Management, St. Petersburg State University. 151-158 (2014).
MSC:  91B26 91A20 91A10
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