Related papers: Optimal stopping problems with regime switching: a…
This paper studies the problem of determining the optimal cut-off for pairs trading rules. We consider two correlated assets whose spread is modelled by a mean-reverting process with stochastic volatility, and the optimal pair trading rule…
\citeN{suzuki2020optimal} proves the uniqueness of the viscosity solution to a variational inequality which is solved by the value function of the infinite horizon optimal switching problem with simultaneous multiple switchings. Although it…
We present a novel method for solving a class of time-inconsistent optimal stopping problems by reducing them to a family of standard stochastic optimal control problems. In particular, we convert an optimal stopping problem with a…
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random…
We study an optimal switching problem with a state constraint: the controller is only allowed to choose strategies that keep the controlled diffusion in a closed domain. We prove that the value function associated with this problem is the…
In this paper we study the optimal m-states switching problem in finite horizon as well as infinite horizon with risk of default. We allow the switching cost functionals and cost of default to be of polynomial growth and arbitrary. We show…
We address the problem of making a managerial decision when the investment project is subsidized, which results in the resolution of an infinite-horizon optimal stopping problem of a switching diffusion driven by either an homogeneous or an…
We study viscosity solutions to a system of nonlinear degenerate parabolic partial integro-differential equations with interconnected obstacles. This type of problem occurs in the context of optimal switching problems when the dynamics of…
This paper studies the problem of optimally extracting nonrenewable natural resource in light of various financial and economic restrictions and constraints. Taking into account the fact that the market values of the main natural resources…
In a classical optimal stopping problem the aim is to maximize the expected value of a functional of a diffusion evaluated at a stopping time. This note considers optimal stopping problems beyond this paradigm. We study problems in which…
We study a stochastic control problem on a bounded domain, which arises from a continuous-time optimal management model. Via the corresponding Hamilton-Jacobi-Bellman equation the value function is shown to be jointly continuous and to…
In this paper we show existence and uniqueness of a solution for a system of m variational partial differential inequalities with inter-connected obstacles. This system is the deterministic version of the Verification Theorem of the…
We study a problem of optimal investment/consumption over an infinite horizon in a market consisting of a liquid and an illiquid asset. The liquid asset is observed and can be traded continuously, while the illiquid one can only be traded…
We develop methods to solve general optimal stopping problems with opportunities to stop that arrive randomly. Such problems occur naturally in applications with market frictions. Pivotal to our approach is that our methods operate on…
Our purpose is to study a particular class of optimal stopping problems for Markov processes. We justify the value function convexity and we deduce that there exists a boundary function such that the smallest optimal stopping time is the…
This paper deals with existence and uniqueness, in viscosity sense, of a solution for a system of m variational partial differential inequalities with inter-connected obstacles. A particular case of this system is the deterministic version…
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…
We consider an optimal stopping time problem related with many models found in real options problems. The main goal of this work is to bring for the field of real options, different and more realistic pay-off functions, and negative…
The paper deals with a Bolza optimal control problem for a dynamical system which motion is described by a delay differential equation under an initial condition defined by a piecewise continuous function. For the value functional in this…
Deterministic optimal impulse control problem with terminal state constraint is considered. Due to the appearance of the terminal state constraint, the value function might be discontinuous in general. The main contribution of this paper is…