We consider the problem of a government that wants to manage the country's debt-to- GDP (gross domestic product) ratio. The latter evolves stochastically in continuous time, and its drift is given by the interest rate on government debt, net of the growth rate of GDP. We further allow the...

This paper examines a Markovian model for the optimal irreversible investment problem of a firm aiming at minimizing total expected costs of production. We model market uncertainty and the cost of investment per unit of production capacity as two independent one-dimensional regular diffusions,...

In a world dominated by uncertainty, modeling and understanding the optimal behavior of agents is of the utmost importance. Many problems in economics, finance, and actuarial science naturally require decision makers to undertake choices in stochastic environments. Examples include optimal...

We study the problem of a policymaker who aims at taming the spread of an epidemic while minimizing its associated social costs. The main feature of our model lies in the fact that the disease's transmission rate is a diffusive stochastic process whose trend can be adjusted via costly...

We study a class of infinite-dimensional singular stochastic control problems with applications in economic theory and finance. The control process linearly affects an abstract evolution equation on a suitable partially-ordered infinite-dimensional space X, it takes values in the positive cone...

Consider a central bank that can adjust the in ation rate by increasing and decreasing the level of the key interest rate. Each intervention gives rise to proportional costs, and the central bank faces also a running penalty, e.g., due to misaligned levels of in ation and interest rate. We model...

In this paper we study a Markovian two-dimensional bounded-variation stochastic control problem whose state process consists of a diffusive mean-reverting component and of a purely controlled one. The main problem's characteristic lies in the interaction of the two components of the state...

We solve an infinite time-horizon bounded-variation stochastic control problem with regime switching between N states. This is motivated by the problem of a government that wants to control the country's debt-to-GDP (gross domestic product) ratio. In our formulation, the debt-to-GDP ratio...