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math.OC2026
Optimal Reinsurance-Dividend Strategy with Fixed Transaction Costs in a Regime-Switching Brownian Risk Model: A Viscosity Solution to the Impulse Control Problem
Wenyuan Wang, Zuo Quan Xu, Kaixin Yan
We consider a problem of optimal proportional reinsurance-dividend distribution under a Brownian risk model, where both the drift and volatility coefficients are subject to endogen…
math.OC2026
Policy Gradient Learning for Distributionally Robust Markov Decision Processes under Wasserstein Ambiguity
Yadh Hafsi, Samy Mekkaoui, Huyên Pham +1
We study finite-horizon Markov decision processes under distributional uncertainty in the transition kernels and develop a policy-gradient framework for Wasserstein distributionall…
q-fin.MF2026
Optimal credit portfolio and consumption with regime switching and default contagion
Fei Sun, Wenyuan Wang, Kaixin Yan
We study an optimal portfolio and consumption problem in a regime-switching multi-name credit market with default contagion. Default events not only generate direct portfolio losse…