5 papers
Abstract polynomial processes
Fred Espen Benth, Nils Detering, Paul Kruhner
We suggest a novel approach to polynomial processes solely based on a polynomial action operator. With this approach, we can analyse such processes on general state spaces, going f…
Maximising with-profit pensions without guarantees
M. Carmen Boado-Penas, Julia Eisenberg, Paul Krühner
Currently, pension providers are running into trouble mainly due to the ultra-low interest rates and the guarantees associated to some pension benefits. With the aim of reducing th…
Suboptimal Control of Dividends under Exponential Utility
Julia Eisenberg, Paul Krühner
We consider an insurance company modelling its surplus process by a Brownian motion with drift. Our target is to maximise the expected exponential utility of discounted dividend pa…
Independent increment processes: A multilinearity preserving property
Fred Espen Benth, Nils Detering, Paul Kruhner
We observe a multilinearity preserving property of conditional expectation for infinite dimensional independent increment processes defined on some abstract Banach space . It is…
Hölder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients
David Baños, Paul Krühner
We consider a process given as the solution of a one-dimensional stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additi…