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math.OC2021★ 1 cited
Optimal Dividends under Model Uncertainty
Prakash Chakraborty, Asaf Cohen, Virginia R. Young
We consider a diffusive model for optimally distributing dividends, while allowing for Knightian model ambiguity concerning the drift of the surplus process. We show that the value…
math.OC2021
Minimizing the Probability of Lifetime Exponential Parisian Ruin
Xiaoqing Liang, Virginia R. Young
We find the optimal investment strategy in a Black-Scholes market to minimize the probability of so-called {\it lifetime exponential Parisian ruin}, that is, the probability that w…