1 citations · 1 across the 4 of their papers we have counts for
5 papers
A new perspective on the Løkka-Zervos dichotomy for absolutely continuous dividend strategies
Tommy Mastromonaco, Nacer Fendri, Jean-François Renaud +1
We revisit the optimization problem (and its dichotomous solution) analyzed in Renaud et al. (2026). By choosing affine functions (of the surplus level) to bound the dividend rates…
Deep Hedging with Market Impact
Andrei Neagu, Frédéric Godin, Clarence Simard +1
Dynamic hedging is the practice of periodically transacting financial instruments to offset the risk caused by an investment or a liability. Dynamic hedging optimization can be fra…
An optimization dichotomy for capital injections and absolutely continuous dividend strategies
Jean-François Renaud, Alexandre Roch, Clarence Simard
We consider an optimal stochastic control problem in which a firm's cash/surplus process is controlled by dividend payments and capital injections. Stockholders aim to maximize the…
A stochastic control problem with linearly bounded control rates in a Brownian model
Jean-François Renaud, Clarence Simard
Aiming for more realistic optimal dividend policies, we consider a stochastic control problem with linearly bounded control rates using a performance function given by the expected…
Martingale decomposition of a space with nonlinear stochastic integrals
Clarence Simard
This paper presents a generalization of the Kunita-Watanabe decomposition of a space with nonlinear stochastic integrals where the integrator is a family of continuous martin…