11 citations · 13 across the 7 of their papers we have counts for
9 papers
Dividend ratcheting and capital injection under the Cramér-Lundberg model: Strong solution and optimal strategy
Chonghu Guan, Zuo Quan Xu
We consider an optimal dividend payout problem for an insurance company whose surplus follows the classical Cramér-Lundberg model. The dividend rate is subject to a ratcheting cons…
Optimal Consumption-Investment for General Utility with a Drawdown Constraint over a Finite-Time Horizon
Chonghu Guan, Xinfeng Gu, Wenhao Zhang +1
We study an optimal investment and consumption problem over a finite-time horizon, in which an individual invests in a risk-free asset and a risky asset, and evaluate utility using…
Optimal dividend payout with path-dependent drawdown constraint
Chonghu Guan, Jiacheng Fan, Zuo Quan Xu
This paper studies an optimal dividend problem with a drawdown constraint in a Brownian motion model, requiring the dividend payout rate to remain above a fixed proportion of its h…
Optimal ratcheting of dividend payout under Brownian motion surplus
Chonghu Guan, Zuo Quan Xu
This paper is concerned with a long standing optimal dividend payout problem subject to the so-called ratcheting constraint, that is, the dividend payout rate shall be non-decreasi…
Continuous-time Markowitz's mean-variance model under different borrowing and saving rates
Chonghu Guan, Xiaomin Shi, Zuo Quan Xu
We study Markowitz's mean-variance portfolio selection problem in a continuous-time Black-Scholes market with different borrowing and saving rates. The associated Hamilton-Jacobi-B…
A consumption-investment model with state-dependent lower bound constraint on consumption
Chonghu Guan, Zuo Quan Xu, Fahuai Yi
This paper studies a life-time consumption-investment problem under the Black-Scholes framework, where the consumption rate is subject to a lower bound constraint that linearly dep…
A free boundary problem arising from a multi-state regime-switching stock trading model
Chonghu Guan, Jing Peng, Zuo Quan Xu
In this paper, we study a free boundary problem, which arises from an optimal trading problem of a stock that is driven by a uncertain market status process. The free boundary prob…
Dynamic optimal reinsurance and dividend-payout in finite time horizon
Chonghu Guan, Zuo Quan Xu, Rui Zhou
This paper studies a dynamic optimal reinsurance and dividend-payout problem for an insurance company in a finite time horizon. The goal of the company is to maximize the expected…
Optimal Investment Stopping Problem with Nonsmooth Utility in Finite Horizon
Chonghu Guan, Xun Li, Zuoquan Xu +1
In this paper, we investigate an interesting and important stopping problem mixed with stochastic controls and a \textit{nonsmooth} utility over a finite time horizon. The paper ai…