The paper develops a stochastic dynamic model of economic equilibrium with locally interacting agents. The main focus of the study is on the modeling of market interactions - those arising in connection with commodity exchange and regulated by price mechanisms. The mathematical framework is a...

We use the expectation of the range of an arithmetic Brownian motion and the method of moments on the daily high, low, opening, and closing prices to estimate the volatility of the stock price. This novel theoretical approach results in an estimator that is genuinely range-based on daily...

In this paper, we assume that the surplus process of an insurance entity is represented by a pure diffusion. The company can invest its surplus into a Black-Scholes risky asset and a risk free asset. We impose investment restrictions that only a limited amount is allowed in the risky asset and...

This paper deals with the problem of ruin probability minimization under various investment control and reinsurance schemes. We first look at the minimization of ruin probabilities in the models in which the surplus process is a continuous diffusion process in which we employ stochastic control...