Related papers: A multidimensional problem of optimal dividends wi…
In this paper we propose and solve an optimal dividend problem with capital injections over a finite time horizon. The surplus dynamics obeys a linearly controlled drifted Brownian motion that is reflected at the origin, dividends give rise…
We explicitly solve the optimal switching problem for one-dimensional diffusions by directly employing the dynamic programming principle and the excessive characterization of the value function. The shape of the value function and the…
Motivated by recent developments in risk management based on the U.S. bankruptcy code, we revisit the De Finetti's optimal dividend problem by incorporating the reorganization process and regulator's intervention documented in Chapter 11…
In this paper we consider a company whose assets and liabilities evolve according to a correlated bivariate geometric Brownian motion, such as in Gerber and Shiu (2003). We determine what dividend strategy maximises the expected present…
In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…
Over the past few years, ride-sharing has emerged as an effective way to relieve traffic congestion. A key problem for these platforms is to come up with a revenue-optimal (or GMV-optimal) pricing scheme and an induced vehicle dispatching…
Merton portfolio management problem is studied in this paper within a stochastic volatility, non constant time discount rate, and power utility framework. This problem is time inconsistent and the way out of this predicament is to consider…
This article studies a portfolio optimization problem, where the market consisting of several stocks is modeled by a multi-dimensional jump-diffusion process with age-dependent semi-Markov modulated coefficients. We study risk sensitive…
We consider a dynamic portfolio optimization problem that incorporates predictable returns, instantaneous transaction costs, price impact, and stochastic volatility, extending the classical results of Garleanu and Pedersen (2013), which…
De Finetti's optimal dividend problem has recently been extended to the case dividend payments can only be made at Poisson arrival times. This paper considers the version with bail-outs where the surplus must be nonnegative uniformly in…
We reconsider the study of optimal dividend strategies in the Cram\'er-Lundberg risk model. It is well-known that the solution of the classical dividend problem is in general a band strategy. However, the numerical techniques for the…
We study some optimal control problems on networks with junctions, approximate the junctions by a switching rule of delay-relay type and study the passage to the limit when $\varepsilon$, the parameter of the approximation, goes to zero.…
This paper deals with a stochastic recursive optimal control problem, where the diffusion coefficient depends on the control variable and the control domain is not necessarily convex. We focus on the connection between the general maximum…
We study a model of a corporation which has the possibility to choose various production/business policies with different expected profits and risks. In the model there are restrictions on the dividend distribution rates as well as…
Mean-variance portfolio optimization problems often involve separable nonconvex terms, including penalties on capital gains, integer share constraints, and minimum position and trade sizes. We propose a heuristic algorithm for such problems…
Banks must optimize risky investments, dividend payouts, and capital structure under tight Basel III solvency and liquidity constraints, while costly equity issuance serves as a distress-recovery tool. We formulate this as a stochastic…
This paper is concerned with the problem of finding the optimal of extraction policies of an oil field in light of various financial and economical restrictions and constraints. Taking into account the fact that the oil price in worldwide…
We study a stochastic optimal control problem for jump-diffusion systems whose drift coefficient is piecewise Lipschitz continuous and exhibits threshold-induced discontinuities. Such dynamics naturally arise in applications with…
We consider a Bayesian adaptive optimal stochastic control problem where a hidden static signal has a non-separable influence on the drift of a noisy observation. Being allowed to control the specific form of this dependence, we aim at…
This work takes up the challenges of utility maximization problem when the market is indivisible and the transaction costs are included. First there is a so-called solvency region given by the minimum margin requirement in the problem…