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20002022
most citedOn the Relation Between Two Approaches to Necessary Optimality Conditions in Problems with State Constraints

14 citations

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q-fin.PM2011

Optimal Constrained Investment in the Cramer-Lundberg model

Tatiana Belkina, Christian Hipp, Shangzhen Luo +1

We consider an insurance company whose surplus is represented by the classical Cramer-Lundberg process. The company can invest its surplus in a risk free asset and in a risky asset…

math.CO2011★ 1 cited

Planar flows and quadratic relations over semirings

Vladimir I. Danilov, Alexander V. Karzanov, Gleb A. Koshevoy

Adapting Lindström's well-known construction, we consider a wide class of functions which are generated by flows in a planar acyclic directed graph whose vertices (or edges) take w…