Small mass limit and diffusion approximation for a generalized Langevin equation with infinite number degrees of freedom
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DOI: 10.1016/j.jde.2021.03.023
Abstract: Abstract An approximation of a Generalized Langevin equations with small mass and randomly fast oscillation is derived. By some bounded estimates and a diffusion approximation the limiting equation is shown to be stochastic partial differential… read more here.
Keywords: generalized langevin; diffusion approximation; approximation generalized; small mass ... See more keywords
Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance
Sign Up to like & getrecommendations! Published in 2022 at "Journal of Applied Probability"
DOI: 10.1017/jpr.2021.68
Abstract: Abstract A diffusion approximation to a risk process under dynamic proportional reinsurance is considered. The goal is to minimise the discounted time in drawdown; that is, the time where the distance of the present surplus… read more here.
Keywords: optimal discounted; diffusion approximation; reinsurance; proportional reinsurance ... See more keywords