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math.OC2022
Optimal consumption under a drawdown constraint over a finite horizon
Xiaoshan Chen, Xun Li, Fahuai Yi +1
This paper studies a finite horizon utility maximization problem on excessive consumption under a drawdown constraint. Our control problem is an extension of the one considered in…
math.OC2022
Optimal dividend and capital injection under spectrally positive Markov additive models
Wenyuan Wang, Kaixin Yan, Xiang Yu
This paper studies De Finetti's optimal dividend problem with capital injection under spectrally positive Markov additive models. Based on dynamic programming principle, we first s…