Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

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Optimal decisions for allocating resources, reducing financial risks and maximising profitsunder environment uncertainty

2021/41/B/HS4/00599

Keywords:

health care optimal stopping American option dividend regime-switching market

Descriptors:

  • ST1_018:
  • HS4_009:
  • HS4_003:

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Politechnika Wrocławska

woj. dolnośląskie

Other projects carried out by the institution 

Principal investigator (from the host institution):

prof. Zbigniew Bogusław Palmowski 

Number of co-investigators in the project: 2

Call: OPUS 21 - announced on 2021-03-15

Amount awarded: 427 000 PLN

Project start date (Y-m-d): 2022-01-10

Project end date (Y-m-d): 2027-01-09

Project duration:: 60 months (the same as in the proposal)

Project status: Pending project

Project description

Download the project description in a pdf file

Note - project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.

Information in the final report

  • Publication in academic press/journals (12)
  1. Time-dependent probability density function for partial resetting dynamics
    Authors:
    Costantino Di Bello, Aleksei V Chechkin, Alexander K Hartmann, Zbigniew Palmowski, Ralf Metzler
    Academic press:
    New Journal of Physics (rok: 2023, tom: 25, strony: 82002), Wydawca: IOP Institute of Physics
    Status:
    Published
    DOI:
    10.1088/1367-2630/aced1d - link to the publication
  2. Pricing Time-Capped American Options Using Least Squares Monte Carlo Method,
    Authors:
    Paweł Stȩpniak, Zbigniew Palmowski
    Academic press:
    Journal of Computational Finance (rok: 2025, tom: 28(3), strony: 46044), Wydawca: Risk.net
    Status:
    Published
    DOI:
    10.21314/JCF.2024.011 - link to the publication
  3. Fluctuations of Omega-killed level-dependent spectrally negative L´evy processes
    Authors:
    Zbigniew Palmowski, Meral Şimşek, Apostolos D. Papaioannou
    Academic press:
    Stochastic Processes and their Applications (rok: 2025, tom: 185, strony: 104617), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spa.2025.104617 - link to the publication
  4. Last passage American cancellable option in Lévy models
    Authors:
    Z. Palmowski, P. Stępniak
    Academic press:
    Journal of Risk and Financial Management (rok: 2023, tom: 16(2), strony: 82), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/jrfm16020082 - link to the publication
  5. Maxima over random time intervals for heavy-tailed compound renewal and Lévy processes
    Authors:
    Sergey Foss, Dmitry Korshunov, Zbigniew Palmowski
    Academic press:
    Stochastic Processes and their Applications (rok: 2024, tom: 176, strony: 104422), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spa.2024.104422 - link to the publication
  6. Branching random walk and log-slowly varying tails
    Authors:
    Ayan Bhattacharya, Piotr Dyszewski, Nina Gantert, Zbigniew Palmowski
    Academic press:
    ALEA Latin American Journal of Probability and Mathematical Statistics (rok: 2025, tom: 22, strony: 473-491), Wydawca: Institute of Mathematical Statistics
    Status:
    Published
    DOI:
    10.30757/ALEA.v22-17 - link to the publication
  7. Gerber-Shiu theory for discrete risk processes in a regime switching environment
    Authors:
    Zbigniew Palmowski, Lewis Ramsden, Apostolos D. Papaioannou
    Academic press:
    Applied Mathematics and Computation (rok: 2024, tom: 467, strony: 128491), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.amc.2023.128491 - link to the publication
  8. Perpetual American Options with Asset-Dependent Discounting
    Authors:
    Jonas Al-Hadad, Zbigniew Palmowski
    Academic press:
    Applied Mathematics & Optimization (rok: 2023, tom: 89, strony: 18), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s00245-023-10084-4 - link to the publication
  9. Asymptotic expected utility of dividend payments in a classical collective risk process,
    Authors:
    S. Baran, C. Constantinescu, Z. Palmowski
    Academic press:
    Risks (rok: 2023, tom: 11(4), strony: 64), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/risks11040064 - link to the publication
  10. Exit Times for a Discrete Markov Additive Process
    Authors:
    Zbigniew Palmowski, Lewis Ramsden, Apostolos D. Papaioannou
    Academic press:
    Journal of Theoretical Probability (rok: 2024, tom: 37, strony: 1052–1078), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s10959-024-01322-8 - link to the publication
  11. On the longest/shortest negative excursion of a Lévy risk process and related quantities
    Authors:
    M. A. Lkabous, Z. Palmowski
    Academic press:
    Scandinavian Actuarial Journal (rok: 2025, tom: 4, strony: 367-386), Wydawca: Taylor and Francis
    Status:
    Published
    DOI:
    10.1080/03461238.2024.2424273 - link to the publication
  12. Exact asymptotics of ruin probabilities with linear Hawkes arrivals
    Authors:
    Zbigniew Palmowski, Simon Pojer, Stefan Thonhauser
    Academic press:
    Stochastic Processes and their Applications (rok: 2025, tom: 182, strony: 104571), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spa.2025.104571 - link to the publication

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