319 citations · 484 across the 28 of their papers we have counts for
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math.OC2018★ 1 cited
A Pontryaghin Maximum Principle Approach For The Optimization Of Dividends/consumption Of Spectrally Negative Markov Processes, Until A Generalized Draw-down Time
Florin Avram, Dan Goreac
The first motivation of our paper is to explore further the idea that, in risk control problems, it may be profitable to base decisions both on the position of the underlying proce…
math.PR2018★ 1 cited
General drawdown of general tax model in a time-homogeneous Markov framework
Florin Avram, Bin Li, Shu Li
Drawdown/regret times feature prominently in optimal stopping problems, in statistics (CUSUM procedure) and in mathematical finance (Russian options). Recently it was discovered th…