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math.OC2026
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…
math.OC2020
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…
math.OC2018
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…