| Publication | Date of Publication | Type |
|---|
Numerical approximation of Dynkin games with asymmetric information
SIAM Journal on Control and Optimization | 2025-01-14 | Paper |
Irreversible reinsurance: minimization of capital injections in presence of a fixed cost
Mathematics and Financial Economics | 2024-12-27 | Paper |
Uncertainty over uncertainty in environmental policy adoption: Bayesian learning of unpredictable socioeconomic costs
Journal of Economic Dynamics and Control | 2024-07-04 | Paper |
Stationary Discounted and Ergodic Mean Field Games with Singular Controls
Mathematics of Operations Research | 2024-03-01 | Paper |
Numerical approximation of Dynkin games with asymmetric information
| 2023-12-04 | Paper |
Two-Sided Singular Control of an Inventory with Unknown Demand Trend
SIAM Journal on Control and Optimization | 2023-10-26 | Paper |
Optimal dividend payout under stochastic discounting
Mathematical Finance | 2023-09-28 | Paper |
Ergodic Mean-Field Games of Singular Control with Regime-Switching (Extended Version)
| 2023-07-22 | Paper |
Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls
Stochastic Processes and their Applications | 2023-07-12 | Paper |
Optimal execution with multiplicative price impact and incomplete information on the return
Finance and Stochastics | 2023-07-06 | Paper |
Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations
Advances in Applied Probability | 2022-12-13 | Paper |
Optimal dividends under Markov-modulated bankruptcy level
Insurance Mathematics & Economics | 2022-09-14 | Paper |
Nonlinear filtering of partially observed systems arising in singular stochastic optimal control
Applied Mathematics and Optimization | 2022-04-22 | Paper |
Optimal switch from a fossil-fueled to an electric vehicle
Decisions in Economics and Finance | 2022-01-06 | Paper |
A Knightian irreversible investment problem
Journal of Mathematical Analysis and Applications | 2021-11-17 | Paper |
Singular control of the drift of a Brownian system
Applied Mathematics and Optimization | 2021-11-02 | Paper |
An optimal extraction problem with price impact
Applied Mathematics and Optimization | 2021-07-15 | Paper |
On a class of infinite-dimensional singular stochastic control problems
SIAM Journal on Control and Optimization | 2021-05-28 | Paper |
Numerical approximation of the value of a stochastic differential game with asymmetric information
SIAM Journal on Control and Optimization | 2021-04-09 | Paper |
Taming the spread of an epidemic by lockdown policies
Journal of Mathematical Economics | 2021-03-11 | Paper |
On the singular control of exchange rates
Annals of Operations Research | 2021-01-06 | Paper |
Optimal reduction of public debt under partial observation of the economic growth
Finance and Stochastics | 2020-11-11 | Paper |
Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty
| 2020-11-08 | Paper |
A Singular Stochastic Control Problem with Interconnected Dynamics
SIAM Journal on Control and Optimization | 2020-10-29 | Paper |
Nonzero-sum submodular monotone-follower games: existence and approximation of Nash equilibria
SIAM Journal on Control and Optimization | 2020-05-26 | Paper |
Optimal control of debt-to-GDP ratio in an \(N\)-state regime switching economy
SIAM Journal on Control and Optimization | 2020-03-20 | Paper |
A solvable two-dimensional degenerate singular stochastic control problem with nonconvex costs
Mathematics of Operations Research | 2020-03-12 | Paper |
On an optimal extraction problem with regime switching
Advances in Applied Probability | 2020-02-05 | Paper |
Stochastic nonzero-sum games: a new connection between singular control and optimal stopping
Advances in Applied Probability | 2020-02-05 | Paper |
On a strategic model of pollution control
Annals of Operations Research | 2019-10-15 | Paper |
An optimal dividend problem with capital injections over a finite horizon
SIAM Journal on Control and Optimization | 2019-08-30 | Paper |
On a class of singular stochastic control problems for reflected diffusions
Journal of Mathematical Analysis and Applications | 2019-05-08 | Paper |
On the Optimal Management of Public Debt: a Singular Stochastic Control Problem
SIAM Journal on Control and Optimization | 2018-07-19 | Paper |
Nash equilibria of threshold type for two-player nonzero-sum games of stopping
The Annals of Applied Probability | 2018-05-25 | Paper |
Optimal entry to an irreversible investment plan with non convex costs
Mathematics and Financial Economics | 2017-12-29 | Paper |
Optimal Boundary Surface for Irreversible Investment with Stochastic Costs
Mathematics of Operations Research | 2017-12-07 | Paper |
A note on a new existence result for reflected BSDEs with interconnected obstacles
| 2017-10-06 | Paper |
Continuous-time public good contribution under uncertainty: a stochastic control approach
Applied Mathematics and Optimization | 2017-08-10 | Paper |
Optimal dynamic procurement policies for a storable commodity with Lévy prices and convex holding costs
European Journal of Operational Research | 2016-10-06 | Paper |
Irreversible investment under Lévy uncertainty: an equation for the optimal boundary
Advances in Applied Probability | 2016-05-17 | Paper |
A nonconvex singular stochastic control problem and its related optimal stopping boundaries
SIAM Journal on Control and Optimization | 2015-06-10 | Paper |
On an integral equation for the free-boundary of stochastic, irreversible investment problems
The Annals of Applied Probability | 2015-02-26 | Paper |
A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis
Stochastic Processes and their Applications | 2014-10-06 | Paper |
Identifying the free boundary of a stochastic, irreversible investment problem via the Bank-El Karoui representation theorem
SIAM Journal on Control and Optimization | 2014-07-30 | Paper |
Generalized Kuhn-Tucker conditions for \(N\)-firm stochastic irreversible investment under limited resources
SIAM Journal on Control and Optimization | 2014-01-27 | Paper |
Speedy motions of a body immersed in an infinitely extended medium
Journal of Statistical Physics | 2011-11-02 | Paper |
Irreversible reinsurance: Minimization of Capital Injections in Presence of a Fixed Cost
| N/A | Paper |
Multiple equilibria in mean-field game models for large oligopolies with strategic complementarities
| N/A | Paper |
