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math.PR2020
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…
math.PR2018
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…