3,838 research outputs found
Regularity of the Optimal Stopping Problem for Jump Diffusions
The value function of an optimal stopping problem for jump diffusions is
known to be a generalized solution of a variational inequality. Assuming that
the diffusion component of the process is nondegenerate and a mild assumption
on the singularity of the L\'{e}vy measure, this paper shows that the value
function of this optimal stopping problem on an unbounded domain with
finite/infinite variation jumps is in with . As a consequence, the smooth-fit property holds.Comment: To Appear in the SIAM Journal on Control and Optimizatio
Ruin models with investment income
This survey treats the problem of ruin in a risk model when assets earn
investment income. In addition to a general presentation of the problem, topics
covered are a presentation of the relevant integro-differential equations,
exact and numerical solutions, asymptotic results, bounds on the ruin
probability and also the possibility of minimizing the ruin probability by
investment and possibly reinsurance control. The main emphasis is on continuous
time models, but discrete time models are also covered. A fairly extensive list
of references is provided, particularly of papers published after 1998. For
more references to papers published before that, the reader can consult [47].Comment: Published in at http://dx.doi.org/10.1214/08-PS134 the Probability
Surveys (http://www.i-journals.org/ps/) by the Institute of Mathematical
Statistics (http://www.imstat.org
Jump-diffusion model of exchange rate dynamics : estimation via indirect inference
This paper investigates asymmetric effects of monetary policy over the business cycle. A two-state Markov Switching Model is employed to model both recessions and expansions. For the United States and Germany, strong evidence is found that monetary policy is more effective in a recession than during a boom. Also some evidence is found for asymmetry in the United Kingdom and Belgium. In the Netherlands, monetary policy is not very effective in either regime.
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