Introduction An important issue in actuarial theory is to study the ruin probability of an in- surance company when the management has the possibility of investing in the financial market. Azcue and Muler(2009) studies ...

In this paper we derive an explicit representation for strong solutions of a class of forward stochastic differential equations with reflections (FSDER's). Our approach relies on techniques from white noise analysis. The ...

The analysis of the Multi point flux approximation (MPFA) method has so far relied on the possibility of seeing it as a mixed finite element method for which the convergence is then established. This type of analysis has ...

We study partial information, possibly non-Markovian, singular stochastic control of Itô-Lévy processes and obtain general maximum principles. The results are used to find connections between singular stochastic control, ...

This paper presents the corner velocity interpolation as bilinear and trilinear mixed finite elements on quadrilaterals and hexhahedra. The corner velocity interpolations are bilinear or trilinear vertex based barycentric ...

In this paper we study the problem of risk indifference pricing of interest rate claims which are functionals of a bond yield surface under partial information. Our approach to solve this problem relies on a maximum principle ...