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math.PR2026
Favorite sites of one-dimensional transient random walk
Zechun Hu, Renming Song, Guangshuo Zhou +1
In this paper, we study favorite sites of one-dimensional transient random walk on beyond the simple case. Denote by the set of favorite sites at time…
math.OC2026
Robust Optimal Reinsurance, Investment,and Surplus Allocation for Epstein-Zin Preferences
Junyi Guo, Jianxuan Li, Qianqian Zhou
In this paper, we investigate the robust optimal reinsurance,investment,and internal surplus distribution (i.e., consumption) problem for an insurer with Epstein-Zin recursive pref…