3 papers
math.PR2024
Optimality of a barrier strategy in a spectrally negative Lévy model with a level-dependent intensity of bankruptcy
Dante Mata, Jean-François Renaud
We consider de Finetti's stochastic control problem for a spectrally negative Lévy process in an Omega model. In such a model, the (controlled) process is allowed to spend time und…
math.PR2024
Optimal withdrawals in a general diffusion model with control rates subject to a state-dependent upper bound
Hélène Guérin, Dante Mata, Jean-François Renaud +1
We consider a classical stochastic control problem in which a diffusion process is controlled by a withdrawal process up to a termination time. The objective is to maximize the exp…
q-fin.CP2010
A simple discretization scheme for nonnegative diffusion processes, with applications to option pricing
Chantal Labbé, Bruno Rémillard, Jean-François Renaud
A discretization scheme for nonnegative diffusion processes is proposed and the convergence of the corresponding sequence of approximate processes is proved using the martingale pr…