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,...

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 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...

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...

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...

Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for a general onedimensional diffusion that is reflected at...