3 papers
math.OC2021
Two Approaches for a Dividend Maximization Problem under an Ornstein-Uhlenbeck Interest Rate
Julia Eisenberg, Stefan Kremsner, Alexander Steinicke
We investigate a dividend maximization problem under stochastic interest rates with Ornstein-Uhlenbeck dynamics. This setup also takes negative rates into account. First a determin…
q-fin.MF2020
A deep neural network algorithm for semilinear elliptic PDEs with applications in insurance mathematics
Stefan Kremsner, Alexander Steinicke, Michaela Szölgyenyi
In insurance mathematics optimal control problems over an infinite time horizon arise when computing risk measures. Their solutions correspond to solutions of deterministic semilin…
math.PR2019
-Solutions and Comparison Results for Lévy Driven BSDEs in a Monotonic, General Growth Setting
Stefan Kremsner, Alexander Steinicke
We present a unified approach to -solutions () of multidimensional backward stochastic differential equations (BSDEs) driven by Lévy processes and more general filtrati…