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Stochastic control for diffusions with self-exciting jumps: An overview
Mathematical Control and Related Fields,
2024
DOI:10.3934/mcrf.2024038
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[2]
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Hawkes jump-diffusions and finance: a brief history and review
The European Journal of Finance,
2022
DOI:10.1080/1351847X.2020.1755712
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[3]
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Stochastic asset allocation and reinsurance game under contagious claims
Finance Research Letters,
2022
DOI:10.1016/j.frl.2022.103123
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[4]
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Stochastic asset allocation and reinsurance game under contagious claims
Finance Research Letters,
2022
DOI:10.1016/j.frl.2022.103123
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[5]
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Stochastic asset allocation and reinsurance game under contagious claims
Finance Research Letters,
2022
DOI:10.1016/j.frl.2022.103123
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[6]
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Hawkes jump-diffusions and finance: a brief history and review
The European Journal of Finance,
2022
DOI:10.1080/1351847X.2020.1755712
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[7]
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Stochastic asset allocation and reinsurance game under contagious claims
Finance Research Letters,
2022
DOI:10.1016/j.frl.2022.103123
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[8]
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Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market
Insurance: Mathematics and Economics,
2021
DOI:10.1016/j.insmatheco.2021.09.004
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[9]
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Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market
Insurance: Mathematics and Economics,
2021
DOI:10.1016/j.insmatheco.2021.09.004
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[10]
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A review on Poisson, Cox, Hawkes, shot-noise Poisson and dynamic contagion process and their compound processes
Annals of Actuarial Science,
2021
DOI:10.1017/S1748499520000287
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