In this paper, based on equilibrium control law proposed by Björk and Murgoci (2010), we study an optimal investment and reinsurance problem under partial information for insurer with mean–variance utility, where insurer’s risk aversion varies over time. Instead of treating this time-inconsistent problem as pre-committed, we aim to find time-consistent equilibrium strategy within a game theoretic framework. In particular, proportional reinsurance, acquiring new business, investing in financial market are available in the market. The surplus process of insurer is depicted by classical Lundberg model, and the financial market consists of one risk free asset and one risky asset with unobservable Markov-modulated regime switching drift process. By using reduction technique and solving a generalized extended HJB equation, we derive closed-form time-consistent investment–reinsurance strategy and corresponding value function. Moreover, we compare results under partial information with optimal investment–reinsurance strategy when Markov chain is observable. Finally, some numerical illustrations and sensitivity analysis are provided. 相似文献
In this paper we resolve an open problem proposed by Lai, Vincent Poor, Xin, and Georgiadis [Quickest search over multiple sequences. IEEE Trans. Inf. Theory 57(8) (2011), pp. 5375–5386]. Consider a sequence of Brownian motions with unknown drift equal to one or zero, which may be observed one at a time. We give a procedure for finding, as quickly as possible, a process which is a Brownian motion with non-zero drift. This original quickest search problem, in which the filtration itself is dependent on the observation strategy, is reduced to a single filtration impulse control and optimal stopping problem, which is in turn reduced to an optimal stopping problem for a reflected diffusion, which can be explicitly solved. 相似文献
The paper deals with value functions for optimal stopping and impulsive control for piecewise-deterministic processes with discounted cost. The associated dynamic programming equations are variational and quasi-variational inequalities with integral and first-order differential terms The technique used is to approximate the value functions for an optimal stopping (impulsive control. switching control) problem for a piecewise-deterministic process by value functions for optimal stopping (impulsive control, switching control) problems for Feller piecewise-deterministic processes 相似文献
An all-optical switching device is proposed, based on a sandwich structure comprising two-dimensional square-lattice nanoarrays of donor and acceptor quantum dots. The system operates on Förster energy transfer between the dark states of the individual nanoparticles, normally precluded by selection rules. On application of an off-resonant laser beam, a nonlinear mechanism activates transfer between spatially correlated quantum dots across an optically passive spacer layer, signifying an active switching action with parallel processing capability. In this report, electrodynamic theory is employed to analyse the system and to evaluate its energy transfer fidelity. The results of model calculations are presented in graphical form. 相似文献
By employing a simplified nonlinear coupled mode theory, we discuss the influence of two-photon absorption (TPA) on the characteristics of bistable switching. It is revealed that the critical value of frequency detuning for bistability rises linearly with increasing TPA coefficient k (when k is less than 30), and eventually access to a saturated value. It is also found that TPA effect will be enhanced for a greater frequency detuning, especially when transmission reaches its peak value. As a result, the peak transmission will decrease monotonously with the increasing frequency detuning. Based on this simplified model, the TPA-induced temperature rise in microcavity is also estimated. The theoretical predictions show good agreement with the simultaneous results, as well as the proposed experimental phenomena. 相似文献
The ins and outs of spin : Using the microporous coordination polymer {Fe(pz)[Pt(CN)4]} ( 1 , pz=pyrazine), incorporating spin‐crossover subunits, two‐directional magnetic chemo‐switching is achieved at room temperature. In situ magnetic measurements following guest vapor injection show that most guest molecules transform 1 from the low‐spin (LS) state to the high‐spin (HS) state, whereas CS2 uniquely causes the reverse HS‐to‐LS transition.