9 citations · 44 across the 41 of their papers we have counts for
Showing 2019 · math.OCShow all
2 papers · 2 filters
math.OC2019
On singular control problems, the time-stretching method, and the weak-M1 topology
Asaf Cohen
We consider a general class of singular control problems with state constraints. Budhiraja and Ross (2006) established the existence of optimal controls for a relaxed version of th…
math.OC2019
Rate of Convergence of the Probability of Ruin in the Cramér-Lundberg Model to its Diffusion Approximation
Asaf Cohen, Virginia R. Young
We analyze the probability of ruin for the {\it scaled} classical Cramér-Lundberg (CL) risk process and the corresponding diffusion approximation. The scaling, introduced by Igleha…