As a main step in the numerical solution of control problems in continous time, the controlled process is approximated by sequences of controlled Markov chains, thus discretizing time and space. A new feature in this context is to allow for delay in the dynamics. The existence of an optimal...

Up until the appearance of early insurance, fi nancial relief for victims of natural hazards was characterised by two facts: First, private support to victims was provided on a purely voluntary basis. Second, help was only given after an extreme event had happened. "Charity" of this sort was...

As a main step in the numerical solution of control problems in continuous time, the controlled process is approximated by sequences of controlled Markov chains, thus discretizing time and space. A new feature in this context is to allow for delay in the dynamics. The existence of an optimal...

This paper analyzes the effect of the removal of government guarantees on bank risk taking. We exploit the removal of guarantees for German Landesbanken which results in lower credit ratings, higher funding costs, and a loss in franchise value. This removal was announced in 2001, but...

We consider the optimal stopping problem with non-linear f-expectation (induced by a BSDE) without making any regularity assumptions on the reward process xi. We show that the value family can be aggregated by an optional process Y . We characterize the process Y as the Ef-Snell envelope of xi....

We formulate a notion of doubly reflected BSDE in the case where the barriers xi and zeta do not satisfy any regularity assumption. Under a technical assumption (a Mokobodzki-type condition), we show existence and uniqueness of the solution. In the case where xi is right upper-semicontinuous and...