| Publication | Date of Publication | Type |
|---|
Optimal insurance contracts for a shot-noise Cox claim process and persistent insured's actions
Insurance Mathematics \& Economics | 2023-02-22 | Paper |
Explicit formula for the optimal government debt ceiling
Annals of Operations Research | 2017-03-03 | Paper |
Government debt control: optimal currency portfolio and payments
Operations Research | 2016-03-22 | Paper |
Entrepreneurial decisions on effort and project with a nonconcave objective function
Mathematics of Operations Research | 2016-01-29 | Paper |
Optimal investment and risk control policies for an insurer: expected utility maximization
Insurance Mathematics \& Economics | 2015-01-28 | Paper |
Explicit solutions of optimal consumption, investment and insurance problems with regime switching
Insurance Mathematics \& Economics | 2015-01-28 | Paper |
Stochastic control methods for the joint optimization of the risk and dividend policies of a firm
| 2014-11-10 | Paper |
Optimal production management when demand depends on the business cycle
Operations Research | 2014-06-26 | Paper |
Stochastic impulse control with regime switching for the optimal dividend policy when there are business cycles, taxes and fixed costs
Stochastics | 2014-04-17 | Paper |
Optimal control of a mean-reverting inventory
Operations Research | 2011-11-17 | Paper |
Classical and singular stochastic control for the optimal dividend policy when there is regime switching
Insurance Mathematics \& Economics | 2011-08-01 | Paper |
Risk-hedging in real estate markets
Asia-Pacific Financial Markets | 2009-12-11 | Paper |
Free Cash Flow and Managerial Entrenchment: A Continuous-Time Stochastic Control-Theoretic Model
The B.E. Journal of Theoretical Economics | 2009-09-11 | Paper |
EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
Mathematical Finance | 2009-08-28 | Paper |
Investors' preference for a positive tax rate depends on the level of the interest rate
Mathematics and Financial Economics | 2008-05-27 | Paper |
A NOTE ON THE EFFECTS OF TAXES ON OPTIMAL INVESTMENT
Mathematical Finance | 2008-05-22 | Paper |
Stochastic control methods for the problem of optimal compensation of executives
| 2007-10-31 | Paper |
Optimal risk-sharing with effort and project choice
Journal of Economic Theory | 2007-06-26 | Paper |
OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR
Mathematical Finance | 2007-06-08 | Paper |
CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
Mathematical Finance | 2006-06-12 | Paper |
A stochastic maximum principle for systems with jumps, with applications to finance.
Systems \& Control Letters | 2003-01-21 | Paper |
Classical and impulse stochastic control of the exchange rate using interest rates and reserves.
Mathematical Finance | 2001-03-29 | Paper |
Consumption-investment problems with transaction costs: Survey and open problems
Mathematical Methods of Operations Research | 2000-11-12 | Paper |
Optimal Central Bank intervention in the foreign exchange market
Journal of Economic Theory | 1999-11-11 | Paper |
Optimal trading of a security when there are taxes and transaction costs
Finance and Stochastics | 1999-09-14 | Paper |
Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients
Journal of Optimization Theory and Applications | 1998-03-05 | Paper |
The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients
SIAM Journal on Control and Optimization | 1995-11-27 | Paper |
The stochastic maximum principle for a singular control problem
Stochastics and Stochastic Reports | 1995-09-25 | Paper |
