[1] Merton, R.C.: Optimum consumption and portfolio rules in a continuous-time model. J. Econ. Theory 3(4), 373–413(1971) [2] Grossman, S.J., Zhou, Z.: Optimal investment strategies for controlling drawdowns. Math. Finance 3(3), 241–276(1993) [3] Karatzas, I.: Lectures on the Mathematics of Finance, vol. 8. American Mathematical Society, Providence (1997) [4] Ingersoll, J.E.: Optimal consumption and portfolio rules with intertemporally dependent utility of consumption. J. Econ. Dyn. Control 16(3), 681–712(1992) [5] Munk, C.: Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences. J. Econ. Dyn. Control 32(11), 3560–3589(2008) [6] Karatzas, I., Shreve, S.: Brownian Motion and Stochastic Calculus, vol. 113. Springer, Berlin (2012) [7] Bouchard, B., Pham, H.: Wealth-path dependent utility maximization in incomplete markets. Finance Stochast. 8(4), 579–603(2004) [8] Øksendal, B., Sulem, A.: Partial observation control in an anticipating environment. Rus. Math. Surv. 59(2), 355(2004) [9] Di Nunno, G., Meyer-Brandis, T., Øksendal, B., Proske, F.: Malliavin calculus and anticipative itô formulae for lévy processes. Infin. Dimens. Anal. Quantum Probab. Relat. Topics 8(02), 235–258(2005) [10] Di Nunno, G., Øksendal, B.: Optimal portfolio, partial information and Malliavin calculus. Stoch. Int. J. Probab. Stoch. Processes 81(3–4), 303–322(2009) [11] Bo, L., Wang, Y., Yang, X.: An optimal portfolio problem in a defaultable market. Adv. Appl. Prob. 42(3), 689–705(2010) [12] Bo, L., Wang, Y., Yang, X.: Optimal portfolio and consumption selection with default risk. Front. Math. China 7(6), 1019–1042(2012) [13] Bo, L., Wang, Y., Yang, X.: Optimal investment and consumption with default risk: Hara utility. Asia-Pac. Financ. Markets 20(3), 261–281(2013) [14] Bo, L., Wang, Y., Yang, X.: Stochastic portfolio optimization with default risk. J. Math. Anal. Appl. 397(2), 467–480(2013) [15] Perez, I., Hodge, D., Le, H.: Markov decision process algorithms for wealth allocation problems with defaultable bonds. Adv. Appl. Probab. 48(2), 392–405(2016) [16] Capponi, A., Figueroa-L’opez, J.E.: Dynamic portfolio optimization with a defaultable security and regime-switching. Math. Finance 24(2), 207–249(2014) [17] Capponi, A., Figueroa-Lòpez, J.E., Pascucci, A.: Dynamic credit investment in partially observed markets. Finance Stochast. 19(4), 891–939(2015) [18] Josa-Fombellida, R., Rincòn-Zapatero, J.P.: New approach to stochastic optimal control and applications to economics (2005). https://ideas.repec.org/p/cte/werepe/we053219.html [19] Emms, P., Haberman, S.: Pricing general insurance using optimal control theory. Astin Bull. 35(02), 427–453(2005) [20] Schmidli, H.: Stochastic Control in Insurance. Springer, Berlin (2007) [21] Meng, Q., Li, Z., Wang, M., Zhang, X.: Stochastic optimal control models for the insurance company with bankruptcy return. Appl. Math. Inf. Sci. 7(1), 273–82(2013) [22] Lim, B.H., Choi, U.J.: Optimal consumption and portfolio selection with portfolio constraints. Int. Sci. 4, 293–309(2009) [23] Framstad, N.C., Øksendal, B., Sulem, A.: Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs. J. Math. Econ. 35(2), 233–257(2001) [24] Rogers, L.C.G.: Optimal investment and insurance. University of Cambridge, Rogers LCG-Cambridge (2006) [25] Asmussen, S., Taksar, M.: Controlled diffusion models for optimal dividend pay-out. Insur. Math. Econ. 20(1), 1–15(1997) [26] Gerber, H.U., Shiu, E.S.W.: On optimal dividend strategies in the compound poisson model. North Am. Actuar. J. 10(2), 76–93(2006) [27] He, L., Liang, Z.: Optimal financing and dividend control of the insurance company with proportional reinsurance policy. Insur. Math. Econ. 42(3), 976–983(2008) [28] Stein, J.L.: Stochastic Optimal Control and the US Financial Debt Crisis. Springer, Berlin (2012) [29] Zou, B., Cadenillas, A.: Optimal investment and risk control problem for an insurer: expected utility maximization. Insur. Math. Econ. 58, 57–67(2014) [30] Zou, B., Cadenillas, A.: Optimal investment and liability ratio policies in a multidimensional regime switching model. Risks 5(1), 1–22(2017) [31] Davis, M.H.A., Varaiya, P.: Dynamic programming conditions for partially observable stochastic systems. SIAM J. Control 11(2), 226–261(1973) [32] Revuz, D., Yor, M.: Continuous Martingales and Brownian motion, vol. 293. Springer, Berlin (2013) |