3 papers
math.PR2024
Ruin problems with investments on a finite interval: PIDEs and their viscosity solutions
Viktor Antipov, Yuri Kabanov
The study deals with the ruin problem when an insurance company invests its reserve in a risky asset whose the price dynamics is given by a geometric Lévy process. Considering the…
math.PR2023
Ruin probabilities with investments in random environment: smoothness
Viktor Antipov, Yuri Kabanov
The paper deals with the ruin problem of an insurance company investing its capital reserve in a risky asset with the price dynamics given by a conditional geometric Brownian motio…
math.OC2015
Consumption-Investment Problem with Transaction Costs for Lévy-Driven Price Processes
Dimitri De Vallière, Yuri Kabanov, Emmanuel Lépinette
We consider an optimal control problem for a linear stochastic integro-diffe\-rential equation with conic constraints on the phase variable and the control of singular-regular type…