Related papers: Optimal ergodic harvesting under ambiguity
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An optimal control problem is considered for a stochastic differential equation with the cost functional determined by a backward stochastic Volterra integral equation (BSVIE, for short). This kind of cost functional can cover the general…
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The determination of acceptability prices of contingent claims requires the choice of a stochastic model for the underlying asset price dynamics. Given this model, optimal bid and ask prices can be found by stochastic optimization. However,…
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We prove a verification theorem for a class of singular control problems which model optimal harvesting with density-dependent prices or optimal dividend policy with capital-dependent utilities. The result is applied to solve explicitly…
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Growth models with internal habit formation have been studied in various settings under the assumption of deterministic dynamics. The purpose of this paper is to explore a stochastic version of the model in Carroll et al. [1997, 2000], one…
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We consider a stochastic transportation problem between two prescribed probability distributions (a source and a target) over processes with general drift dependence and with free end times. First, and in order to establish a dual…
We study the expected utility portfolio optimization problem in an incomplete financial market where the risky asset dynamics depend on stochastic factors and the portfolio allocation is constrained to lie within a given convex set. We…
We consider in this paper the problem of optimal experiment design where a decision maker can choose which points to sample to obtain an estimate $\hat{\beta}$ of the hidden parameter $\beta^{\star}$ of an underlying linear model. The key…
We delve into the interactions between a prey-predator and a vector-borne epidemic system, driven by agro-ecological motivations. This system involves an ODE, two reaction--diffusion PDEs and one reaction--diffusion--advection PDE. It has…