73 citations · 235 across the 20 of their papers we have counts for
Showing 2010Show all
3 papers · 1 filter
math.OC2010★ 27 cited
Optimal control of risk process in a regime-switching environment
Chao Zhu
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime…
math.OC2010★ 73 cited
On Optimal Harvesting Problems in Random Environments
Qingshuo Song, Richard Stockbridge, Chao Zhu
This paper investigates the optimal harvesting strategy for a single species living in random environments whose growth is given by a regime-switching diffusion. Harvesting acts as…
q-fin.PM2010★ 1 cited
Utility Maximization of an Indivisible Market with Transaction Costs
Qingshuo Song, G. Yin, Chao Zhu
This work takes up the challenges of utility maximization problem when the market is indivisible and the transaction costs are included. First there is a so-called solvency region…