‎in this paper‎, ‎we consider the optimal asset control of a financial company which can control its liquid reserves by paying dividends and by issuing new equity‎. ‎we assume that the liquid surplus of the company in the absence of control is modeled by the diffusion model‎. ‎it is a hot topic to maximize the expected present value of dividends payout minus equity issuance until the time of ba...

Recall that ι ∈ I ≡ {0, 1}3 denotes a consumer’s inventory state. Slightly abusing notation, also let ι = 1PS2 + 1XB × 2 + 1GC × 4, where 1j is an indicator for console j being owned. I discretize the distributions of αp and αγ to model consumer heterogeneity: consumers are divided among R groups indexed by i, each with price-sensitivity and gaming-preference coefficients (α i , α γ i ) and ini...

This paper demonstrates that hysteresis operators are the optimal estimators for a large class of estimation and decision problems. This class of problems arises whenever a cost is associated with actions needed to process changes in the estimates or decisions. A simple example related to least-squares estimation is used to illustrate and motivate the developments in this paper. Subsequently, t...

A method to estimate an extreme quantile that requires no distributional assumptions is presented. The approach is based on transformed kernel estimation of the cumulative distribution function (cdf). The proposed method consists of a double transformation kernel estimation. We derive optimal bandwidth selection methods that have a direct expression for the smoothing parameter. The bandwidth ca...