Now showing items 1-2 of 2
Optimal stochastic control and risk minimisation in Insurance
The thesis examines a generalised problem of optimal control of a firm through reinsurance, dividend policy and convex risk minimisation in the presence of market friction. The major mathematical tool applied is the ...
On a Stochastic Control Problem with Terminal State Constraints
In this thesis, we consider a stochastic control problem in both finite and infinite time interval, with a terminal state constraint. We consider two approaches in solving the problem i.e., the Maximum Principle and the ...