We show that the equivalence between certain problems of singular stochastic control (SSC) and related questions of optimal stopping known for convex performance criteria (see, for example, Karatzas and Shreve (1984)) continues to hold in a non convex problem provided a related discretionary...

In this paper we provide a complete theoretical analysis of a two-dimensional degenerate non convex singular stochastic control problem. The optimisation is motivated by a storage-consumption model in an electricity market, and features a stochastic real-valued spot price modelled by Brownian...

This paper deals with a constrained investment problem for a defined contribution (DC) pension fund where retirees are allowed to defer the purchase of the annuity at some future time after retirement.

In the deterministic context a series of well established results allow to reformulate delay differential equations (DDEs) as evolution equations in infinite dimensional spaces. Several models in the theoretical economic literature have been studied using this reformulation. On the other hand,...

In the deterministic context a series of well established results allow to reformu- late delay differential equations (DDEs) as evolution equations in infinite dimensional spaces. Several models in the theoretical economic literature have been studied using this reformulation. On the other hand,...