Search Results - subject:"singular stochastic control"

Optimal entry to an irreversible investment plan with non convex costs

De Angelis, Tiziano; Ferrari, Giorgio; Martyr, Randall; … - In: Mathematics and financial economics 11 (2017) 4, pp. 423-454

Persistent link: https://www.econbiz.de/10011900577

Optimal management of green certificates in the Swedish-Norwegian market

Benth, Fred Espen; Eriksson, Marcus; Westgaard, Sjur - In: The journal of energy markets 10 (2017) 2, pp. 1-39

Persistent link: https://www.econbiz.de/10011999418

Optimal boundary surface for irreversible investment with stochastic costs

De Angelis, Tiziano; Federico, Salvatore; Ferrari, Giorgio - In: Mathematics of operations research 42 (2017) 4, pp. 1135-1161

Persistent link: https://www.econbiz.de/10011773311

European option pricing under geometric Lévy processes with proportional transaction costs

Xing, Haipeng; Yu, Yang; Lim, Tiong Wee - In: The journal of computational finance 21 (2017/2018) 2, pp. 101-127

Persistent link: https://www.econbiz.de/10011848317

Singular stochastic control and optimal stopping with partial information of Itô--Lévy processes

Oksendal, Bernt; Sulem, Agnès - HAL - 2011

We study partial information, possibly non-Markovian, singular stochastic control of Itô--Lévy processes and obtain … general maximum principles. The results are used to find connections between singular stochastic control, reflected BSDEs and …

Persistent link: https://www.econbiz.de/10009220692

A non-stationary model of dividend distribution in a stochastic interest-rate setting

Barth, Andrea; Moreno-Bromberg, Santiago; Reichmann, Oleg - In: Computational economics 47 (2016) 3, pp. 447-472

Persistent link: https://www.econbiz.de/10011712413

Explicit investment rules with time-to-build and uncertainty

Aïd, René; Federico, Salvatore; Pham, Huyên; … - Université Paris-Dauphine (Paris IX) - 2015

We establish explicit socially optimal rules for an irreversible investment decision with time-to-build and uncertainty. Assuming a price sensitive demand function with a random intercept, we provide comparative statics and economic interpretations for three models of demand (arithmetic...

Persistent link: https://www.econbiz.de/10011082468

Explicit investment rules with time-to-build and uncertainty

Aïd, René; Federico, Salvatore; Pham, Huyên; … - In: Journal of Economic Dynamics and Control 51 (2015) C, pp. 240-256

Persistent link: https://www.econbiz.de/10011190664

Explicit investment rules with time-to-build and uncertainty

Aïd, René; Federico, Salvatore; Pham, Huyên; … - In: Journal of economic dynamics & control 51 (2015), pp. 240-256

Persistent link: https://www.econbiz.de/10011474400

Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products

Huang, Yao Tung; Kwok, Yue Kuen - In: Journal of Economic Dynamics and Control 45 (2014) C, pp. 19-43

variable, the earlier works on GMWB have considered the construction of a continuous singular stochastic control model and the … guarantee account, we manage to obtain analytical approximate solution to the singular stochastic control model of dynamic …

Persistent link: https://www.econbiz.de/10010906773