2 papers
math.OC2018
Viscosity Solution for Optimal Stopping Problems of Feller Processes
Suhang Dai, Olivier Menoukeu-Pamen
We study an optimal stopping problem when the state process is governed by a general Feller process. In particular, we examine viscosity properties of the associated value function…
math.PR2016
Ruin probabilities with dependence on the number of claims within a fixed time window
Corina Constantinescu, Suhang Dai, Weihong Ni +1
We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival time distributions depending on the claims that arrived within a fixed (past) time window.…