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math.OC2025
Optimal consumption under adjustment costs with respect to multiple reference levels
Yijie Huang, Kaixin Yan, Qinyi Zhang
This paper studies a type of consumption preference where some adjustment costs are incured whenever the past spending maximum and the past spending minimum records are updated. Th…
q-fin.MF2025
De Finetti's problem with fixed transaction costs and regime switching
Wenyuan Wang, Zuo Quan Xu, Kazutoshi Yamazaki +2
In this paper, we examine a modified version of de Finetti's optimal dividend problem, incorporating fixed transaction costs and altering the surplus process by introducing two-val…