2 citations · 4 across the 12 of their papers we have counts for
4 papers · 1 filter
Utility maximization for L{é}vy switching models
Lioudmila Vostrikova, Yuchao Dong
This article is devoted to the maximisation of HARA utilities of L{é}vy switching process on finite time interval via dual method. We give the description of all f-divergence minim…
On The Ruin Problem With Investment When The Risky Asset Is A Semimartingale
Lioudmila Vostrikova, Jérôme Spielmann
In this paper, we study the ruin problem with investment in a general framework where the business part X is a L{é}vy process and the return on investment R is a semimartingale. We…
On distributions of exponential functionals of the processes with independent increments
L. Vostrikova
The aim of this paper is to study the laws of the exponential functionals of the processes with independent increments, namely and…
On moments of integral exponential functionals of additive processes
Paavo Salminen, Lioudmila Vostrikova
For real-valued additive process a recursive equation is derived for the entire positive moments of functionals $$I\_{s,t}= \int \_s^t\exp(-X\_u)du, \quad 0\leq…