We give an explicit PDE characterization for the solution of the problem of maximizing the utility of both terminal wealth and intertemporal consumption under model uncertainty. The underlying market model consists of a risky asset, whose volatility and long-term trend are driven by an external...

The control problem of controlling ruin probabilities by investments in a financial market is studied. The insurance business is described by the usual Cramer-Lundberg-type model and the risk driver of the financial market is a compound Poisson process. Conditions for investments to be...

The particular entropy method proposed by Hoch et al. [7] for the computation of NMR complex spectra allows an elegant application of the concepts of duality theory. Correspondingly, duality theory casts new light on their choice of entropy. The purpose of this paper is to present the relevant...

We solve the optimal portfolio problem of an investor in a complete market who is liable to deferred taxes due on capital gains, irrespective of their origin. In a Brownian framework we explicitly determine optimal strategies. Our analysis is based on a modification of the standard martingale...

In this paper we study an optimal investment problem of an insurer when the company has the opportunity to invest in a risky asset using stochastic control techniques. A closed form solution is given when the risk preferences are exponential as well as an estimate of the ruin probability when...

This paper develops a Bayesian spike and slab model for zero-inflated count models which are commonly used in health economics. We account for model uncertainty and allow for model averaging in situations with many potential regressors. The proposed techniques are applied to a German data set...

Managers wish to motivate workers to exert effort. There is large literature on the use of wages and monetary incentives for this purpose, but in practice the “honor” or “prestige” of an award can be a significant motivator as well, unless the award is given so often that its prestige is...

We analyze the connection between the optimal solutions of minimum time and fixed final time optimal control problems. We discuss some controllability conditions which guarantee the equivalence of the two problems. In fact, under such conditions, not only does an optimal control...

In this paper, we study a scheduling problem of jobs from two different queues on several parallel servers. Jobs have exponentially distributed processing times, and incur costs per unit of time, until they leave the system, and there are no arrivals to the system at any time. The objective is...

We study the classical real option problem in which an agent faces the decision if and when to invest optimally into a project. The investment is assumed to be irreversible. This problem has been studied by Myers and Majd (Adv Futures Options Res 4:1–21, 1990) for the case of a complete...