1 citations · 1 across the 3 of their papers we have counts for
3 papers
q-fin.MF2014
Optimal Hybrid Dividend Strategy Under The Markovian Regime-Switching Economy
Xiaoxiao Zheng, Xin Zhang
In this paper, we consider the optimal dividend problem for a company. We describe the surplus process of the company by a diffusion model with regime switching. The aim of the com…
q-fin.MF2014
Optimal investment-reinsurance policy under a long-term perspective
Xiaoxiao Zheng, Xin Zhang
In this paper, we assume an insure is allowed to purchase proportional reinsurance and can invest his or her wealth into the financial market where a savings account, stocks and bo…
math.OC2014★ 1 cited
A Stochastic Maximum Principle for Processes Driven by G-Brownian Motion and Applications to Finance
Zhongyang Sun, Xin Zhang, Junyi Guo
In this paper, we consider the stochastic optimal control problems under model risk caused by uncertain volatilities. To have a mathematical consistent framework we use the notion…