We explore martingale and convex duality techniques to study optimal investment strategies that maximize expected risk-averse utility from consumptio…

We study optimal investment strategies that maximize expected utility from consumption and terminal wealth in a pure-jump asset price model with Mark…

Let X0=X0(t) and X1=X1(t) be (integrated) telegraph processes defined by (2.5) on the probability space (Ω,F,P). Let μi(t)=E{Xi(t)},i=0,1 denotes the expectations, and coefficients ai(t),i=0,1 are defined by (3.2).

We study a one-dimensional Markov modulated random walk with jumps. It is assumed that amplitudes of jumps as well as a chosen velocity regime are ra…

We propose a new generalisation of jump-telegraph process with variable velocities and jumps. Amplitude of the jumps and velocity values are random, …

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