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math.OC2026
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…
math.OC2025
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…
math.OC2015
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…