Related papers: Optimal Dividend Control with Transaction Costs un…

We study a multiplicative transient price impact model for an illiquid financial market, where trading causes price impact which is multiplicative in relation to the current price, transient over time with finite rate of resilience, and…

The optimal dividend problem by De Finetti (1957) has been recently generalized to the spectrally negative L\'evy model where the implementation of optimal strategies draws upon the computation of scale functions and their derivatives. This…

In this paper we assume the insurance wealth process is driven by the compound Poisson process. The discounting factor is modelled as a geometric Brownian motion at first and then as an exponential function of an integrated…

We revisit the classical singular control problem of minimizing running and controlling costs. The problem arises in inventory control, as well as in healthcare management and mathematical finance. Existing studies have shown the optimality…

We investigate propagation of convexity and convex ordering on a typical discrete-time stochastic optimal control problem, namely the pricing of swing option. The dynamics of the underlying asset is modelled by the Euler scheme of a…

Given a spectrally negative L\'evy process, we predict, in a $L_1$ sense, the last passage time of the process below zero before an independent exponential time. This optimal prediction problem generalises Baurdoux and Pedraza (2020) where…

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 studies the optimal multiple-stopping problem arising in the context of the timing option to withdraw from a project in stages. The profits are driven by a general spectrally negative Levy process. This allows the model to…

This paper studies an optimal stochastic impulse control problem in a finite horizon with a decision lag, by which we mean that after an impulse is made, a fixed number units of time has to be elapsed before the next impulse is allowed to…

Motivated by the industry practice of pairs trading, we study the optimal timing strategies for trading a mean-reverting price spread. An optimal double stopping problem is formulated to analyze the timing to start and subsequently…

A refracted L\'evy process is a L\'evy process whose dynamics change by subtracting off a fixed linear drift (of suitable size) whenever the aggregate process is above a pre-specified level. More precisely, whenever it exists, a refracted…

We study the optimal stopping of an American call option in a random time-horizon under exponential spectrally negative L\'evy models. The random time-horizon is modeled as the so-called Omega default clock in insurance, which is the first…

This paper deals with the general discounted impulse control problem of a piecewise deterministic Markov process. We investigate a new family of epsilon-optimal strategies. The construction of such strategies is explicit and only…

We consider a singular control problem that aims to maximize the expected cumulative rewards, where the instantaneous returns depend on the state of a controlled process. The contributions of this paper are twofold. Firstly, to establish…

We derive a new equation for the optimal investment boundary of a general irreversible investment problem under exponential L\'evy uncertainty. The problem is set as an infinite time-horizon, two-dimensional degenerate singular stochastic…

We consider an investor who is dynamically informed about the future evolution of one of the independent Brownian motions driving a stock's price fluctuations. With linear temporary price impact the resulting optimal investment problem with…

We consider a vibrating string that is fixed at one end with Neumann control action at the other end. We investigate the optimal control problem of steering this system from given initial data to rest, in time T , by minimizing an objective…

This paper considers the problem of optimal liquidation of a position in a risky security in a financial market, where price evolution are risky and trades have an impact on price as well as uncertainty in the filling orders. The problem is…

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…

Distributionally robust control is a well-studied framework for optimal decision making under uncertainty, with the objective of minimizing an expected cost function over control actions, assuming the most adverse probability distribution…