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math.AP2020
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…
q-fin.MF2020★ 11 cited
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…