We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuous-state branching processes with immigration and Ornstein-Uhlenbeck type processes.(...)

This paper shows the infinite time ruin probability for an insurance company in the classical Cramér-Lundberg model with finite exponential moments.

This paper proves that in smaller market it is optimal to invest the initial endowment into the bond.

Following [10] we continue the study of the problem of expected utility maximization in incomplete markets. Our goal is to find minimal conditions on a model and a utility function for the validity of several key assertions of the theory to hold true....

This paper accompanies a previous one from 1999 by D. Kramkov and the present author. There, we considered utility functions $U:\R_+ \to \R$ satisfying the Inada conditions $U'(0)=\infty$ and $U'(\infty)=0$, in the present paper we consider utility functions $U:\R\to\R$ which are finitely...

We prove a version of the Fundamental Theorem of Asset Pricing, which applies to Kabanov's approach to foreign exchange markets under transaction costs. The financial market is modelled by a d x d matrix-valued stochastic process Sigma_t_t=0^T specifying the mutual bid and ask prices between d...