The Integrated Assessment Model (IAM) has extensively treated the adverse effects of climatechange and the appropriate mitigation policy. We extend such a model to include optimalpolicies for mitigation, adaptation and infrastructure investment studying the dynamics of thetransition to a low...

We develop a high frequency (HF) trading strategy where the HF trader uses her superior speed to process information and to post limit sell and buy orders. By introducing a multifactor mutually exciting process we allow for feedback effects in market buy and sell orders and the shape of the...

This paper studies stochastic linear-quadratic control problems for an ambiguity-adverse agent with a time-inconsistent objective. We allow the agent to incorporate disturbances into the state's drift or choose an alternative model among a set of models equivalent to the reference model, to...

We consider a government that aims at reducing the debt-to-gross domestic product (GDP) ratio of a country. The government observes the level of the debt-to-GDP ratio and an indicator of the state of the economy, but does not directly observe the development of the underlying macroeconomic...

The Least-Squares Monte Carlo (LSMC) method has gained popularity in recent years due to its ability to handle multi-dimensional stochastic control problems, including problems with state variables affected by control. However, when applied to the stochastic control problems in the multi-period...

We investigate a game of singular control and strategic exit in a model of competitive market share control. In the model, each player can make irreversible investments to increase his market share which is modeled as a diffusion process. In addition, each player has an option to exit the market...

We study a stochastic control approach to managed futures portfolios. Building on the Schwartz (1997) stochastic convenience yield model for commodity prices, we formulate a utility maximization problem for dynamically trading a single-maturity futures or multiple futures contracts over a finite...