This paper investigates a mixed regular-singular stochastic control problem where the drift of the dynamics is quadratic in the regular control variable. More importantly, the regular control variable is constrained. The value function of the problem is derived in closed form via solving the...

This paper studies the problem of a company that adjusts its stochastic production capacity in reversible investments with controls of expansion and contraction. The company may also decide on the activation time of its production. The profit production function is of a very general form...

We consider a discretionary stopping problem that arises in the context of pricing a class of perpetual American-type call options, which include the perpetual American, Russian and lookback-American call options as special cases. We solve this genuinely two-dimensional optimal stopping problem...