97 citations · 798 across the 62 of their papers we have counts for
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math.PR2007
Impulse control problem on finite horizon with execution delay
Benjamin Bruder, Huyen Pham
We consider impulse control problems in finite horizon for diffusions with decision lag and execution delay. The new feature is that our general framework deals with the important…
math.PR2007
Some applications and methods of large deviations in finance and insurance
Huyen Pham
In these notes, we present some methods and applications of large deviations to finance and insurance. We begin with the classical ruin problem related to the Cramer's theorem and…