Some penalisations of the Wiener measure

For the risk process in Theorem 3, we conducted a simulation study to demonstrate the relationships between the non-ruin probability, the initial capital and the revenue coefficient

Our paper studies some optimization problems constrained by stochastic evolution systems, giving original results on stochastic first integrals, ad- joint stochastic processes and

The aim of this paper is to work with a similar concept which measures the lack of hyperconvexity of a metric space, in order to sharpen, among others, Schauder and

Abdel-Hameed, “Optimal control of a dam using P λ,τ M policies and penalty cost when the input process is a compound Poisson process with positive drift,” Journal of

This paper discusses the situation that the rate functional has two distinct minimizers, for a simple model described by the pinned Wiener measures with certain densities involving

For the risk process in Theorem 3, we conducted a simulation study to demonstrate the relationships between the non-ruin probability, the initial capital and the revenue coefficient

In this paper, we consider a risk process with random income and a constant barrier. We first derive an integral equation for the Gerber-Shiu function. Then we show that the

In Section 3, we show that the birth-and-assassination process is the scaling limit, as n goes to infin- ity, of the rumor scotching process when G is the complete graph over n