Distribution-Valued Processes Arising from Independent Brownian Motions.
Domain perturbations, Brownian motion, capacities, and ground states of Dirichlet Schrödinger operators.
Dynamic portfolio optimization with risk management and strategy constraints
We investigate the problem of power utility maximization considering risk management and strategy constraints. The aim of this paper is to obtain admissible dynamic portfolio strategies. In case the floor is guaranteed with probability one, we provide two admissible solutions, the option based portfolio insurance in the constrained model, and the alternative method and show that none of the solutions dominate the other. In case the floor is guaranteed partially, we provide one admissible solution,...
Dynamic term structure modelling with default and mortality risk: new results on existence and monotonicity
This paper considers dynamic term structure models like the ones appearing in portfolio credit risk modelling or life insurance. We study general forward rate curves driven by infinitely many Brownian motions and an integer-valued random measure, generalizing existing approaches in the literature. A precise characterization of absence of arbitrage in such markets is given in terms of a suitable criterion for no asymptotic free lunch (NAFL). From this, we obtain drift conditions which are equivalent...
Dynamical semigroups and Markov processes on C*-algebras.
Dyson's Brownian motions, intertwining and interlacing.