1 citations · 2 across the 5 of their papers we have counts for
7 papers
Global Sobolev Convergence of Howard Iteration for Finite-Horizon Controlled Diffusions
Lihua Bai, Linyu Miao
We study Howard policy iteration for finite-horizon stochastic control problems in which the control enters the diffusion coefficient. Each iteration selects a policy by maximizing…
Classical Solutions for a Finite-Horizon Exit-Time Problem with Degenerate Diffusion Control
Lihua Bai, Linyu Miao
We study finite-horizon exit-time control of a one-dimensional affine diffusion, with an unbounded control acting on both drift and volatility. Since an admissible control can canc…
Minimizing the Ruin Probability under the Sparre Andersen Model
Linlin Tian, Lihua Bai
In this paper, we consider the problem of minimizing the ruin probability of an insurance company in which the surplus process follows the Sparre Andersen model. Similar to Bai et…
On Optimal Dividend and Investment Strategy under Renewal Risk Models
Lihua Bai, Jin Ma
In this paper we continue investigating the optimal dividend and investment problems under the Sparre Andersen model. More precisely, we assume that the claim frequency is a renewa…
Optimal Singular Dividend Problem under the Sparre Anderson Model
Linlin Tian, Lihua Bai, Junyi Guo
Consider an insurance company for which the reserve process follows the Sparre Anderson model. In this paper, we study the optimal dividend problem for such a company as Bai, Ma an…
Optimal Dividend and Investment Problems under Sparre Andersen Model
Lihua Bai, Jin Ma, Xiaojing Xing
In this paper we study a class of optimal dividend and investment problems assuming that the underlying reserve process follows the Sparre Andersen model, that is, the claim freque…
On non-trivial barrier solutions of the dividend problem for a diffusion under constant and proportional transaction costs
Lihua Bai, Jostein Paulsen
In Bai and Paulsen (SIAM J. Control optim. 48, 2010) the optimal dividend problem under transaction costs was analyzed for a rather general class of diffusion processes. It was div…