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	OPTIMAL CONTROL ON INVESTMENT AND REINSURANCE STRATEGIES WITH DELAY AND COMMON SHOCK DEPENDENCE IN A JUMP-DIFFUSION FINANCIAL MARKET Journal article Journal of Industrial and Management Optimization,2023, volume: 19, issue: 4, pages: 2855-2888 Authors: Li, Sheng; Yuan, Wei; Chen, Peimin Favorite \| View/Download：4/0 \| Submit date：2025/03/25 jump-diffusion process Mean-variance stochastic delay differential equation two-dimensional dependent claims viscosity solution
	N-Fold compound option pricing with technical risk under fractional jump-diffusion model Journal article Optimization,2023, volume: 72, issue: 3, pages: 713-735 Authors: Zhao, Pingping; Xiang, Kaili; Chen, Peimin Favorite \| View/Download：3/0 \| Submit date：2025/03/25 fractional Brownian Motion jump-diffusion model N-fold compound option phase-specific characteristics technical risk
	Gambler's ruin problem in a Markov-modulated jump-diffusion risk model Journal article Scandinavian Actuarial Journal,2022, volume: 2022, issue: 8, pages: 682-694 Authors: Liu, Yuxuan; Jiang, Zhengjun; Qu, Yixin Favorite \| View/Download：12/0 \| Submit date：2022/05/05 Banach contraction principle Markov-modulated jump-diffusion risk model q-scale function Two-sided ruin probability
	Optimal dividend policy when risk reserves follow a jump–diffusion process with a completely monotone jump density under Markov-regime switching Journal article Insurance: Mathematics and Economics,2019, volume: 86, pages: 1-7 Authors: Jiang, Zhengjun Favorite \| View/Download：7/0 \| Submit date：2022/02/15 Completely monotone jump density Fixed point theorem Markov-modulated jump–diffusion process Optimal dividend policy q-scale functions
	A theoretical model of jump diffusion-mean reversion: Constant proportion portfolio insurance strategy under the presence of transaction cost and stochastic floor Journal article Business Process Management Journal,2017, volume: 23, issue: 3, pages: 537-554 Authors: Chakrabarty, Anindya; Luo, Zongwei; Dubey, Rameshwar; Jiang, Shan Favorite \| View/Download：2/0 \| Submit date：2021/11/25 CIR CPPI Jump diffusion model Monte Carlo simulation Portfolio insurance Stochastic process
	Positive Harris recurrence and exponential ergodicity of the basic affine jump-diffusion Journal article Stochastic Analysis and Applications,2016, volume: 34, issue: 1, pages: 75-95 Authors: Jin, Peng; Rüdiger, Barbara; Trabelsi, Chiraz Favorite \| View/Download：3/0 \| Submit date：2022/01/20 Affine process basic affine jump-diffusion exponential ergodicity Harris recurrence stochastic differential equation
	Optimal dividend policy when cash reserves follow a jump-diffusion process under Markov-regime switching Journal article Journal of Applied Probability,2015, volume: 52, issue: 1, pages: 209-223 Authors: Jiang, Zhengjun Favorite \| View/Download：6/0 \| Submit date：2021/10/19 Jump-diffusion process Markov chain Optimal dividend policy Regime switching Stochastic control
	Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions Journal article Mathematical and Computer Modelling,2013, volume: 57, issue: 3-4, pages: 570-583 Authors: Wu, Jianglun; Yang, Wei Favorite \| View/Download：1/0 \| Submit date：2023/05/30 Affine jump-diffusion processes Collateralised Debt Obligations (CDOs) Heavy tail dependence Intensity based model Lévy stable distributions
	Growth optimal portfolio in a market driven by a jump-diffusion-like process or a Lévy process Journal article Annals of Economics and Finance,2000, volume: 1, issue: 1, pages: 101-116 Authors: Yan, Jia'an; Zhang, Qiang; Zhang, Shuguang Favorite \| View/Download：3/0 \| Submit date：2021/05/13 Growth optimal portfolio Jump-Diffusion Lévy process Martingale measure Numeraire port-folio Relative entropy