Preprint Search

On a Strategic Model of Pollution Control

Project: C4

Published: Annals of Operations Research 275 (2019), 297–319

On an Optimal Extraction problem with Regime Switching

Project: C4

Published: Advances of Applied Probability 50 (2018), 671–705

A note on a new existence result for reflected BSDEs with interconnected obstacles

Project: C4

On a Class of Singular Stochastic Control Problems for Reflected Diffusions

Project: C4

Published: Journal of Mathematical Analysis and Applications 473 (2019), 952–979

On the Singular Control of Exchange Rates

Project: C4

Published: Annals of Operations Research 292 (2020), 795-832

Stochastic nonzero-sum games: a new connection between singular control and optimal stopping

Project: C4

Published: Advances in Applied Probability 50 (2018), 347–372

An Optimal Dividend Problem with Capital Injections over a Finite Horizon

Project: C4

Published: SIAM Journal on Control and Optimization 57 (2019), 2686–2719

A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs

Project: C4

Published: Mathematics of Operations Research 44 (2019), 512–531

On the Optimal Management of Public Debt: a Singular Stochastic Control Problem

Project: C4

Published: SIAM Journal on Control and Optimization 56 (2018), 2036–2073

Optimal control of debt-to-GDP ratio in an $\textit{N}$-State regime switching economy

Project: C4

Published: SIAM Journal on Control and Optimization 58 (2020), 755–786

An optimal extraction problem with price impact

Project: C4

Published: Applied Mathematics and Optimization (2019), DOI: 10.1007/s00245-019-09615-9: 1–40

Nonzero-sum submodular monotone follower games: existence and approximation of Nash equilibria

Project: C4

Published: SIAM Journal on Control and Optimization 58 (2020), 1257–1288

Optimal reduction of public debt under partial observation of the economic growth

Project: C4

Published: Finance and Stochastics 24, no. 4 (2020), 1083—1132

On a Class of Infinite-Dimensional Singular Stochastic Control Problems

Project: B1, C3, C4

Published: SIAM Journal on Control and Optimization 59 (2021), 1680–1704

Universal bounds and monotonicity properties of ratios of Hermite and parabolic cylinder functions

Project: C4

Published: Proceedings of the American Mathematical Society 148 (2020), 2149–2155

Submodular mean field games: existence and approximation of solutions

Project: C4, C5

Published: Ann. Appl. Probab. 31, no. 6 (2021), 2538–2566

Notes: DOI: 10.1214/20-AAP1655

A singular stochastic control problem with interconnected dynamics

Project: C4

Published: SIAM Journal on Control and Optimization 58, no. 5 (2020), 2821—2853

Optimal Installation of Solar Panels with Price Impact: A Solvable Singular Stochastic Control Problem

Project: C4

Published: SIAM Journal of Control and Optimization 59, no. 4 (2021), 3068–3095

Numerical approximation of the value of a stochastic differential game with asymmetric information

Project: B3, C4

Published: SIAM Journal on Control and Optimization 59, no. 2 (2021), 1109-1135

A knightian irreversible investment problem

Project: C3, C4

Published: Journal of Mathematical Analysis and Applications 507 (2022), 125744, 1–39

Optimal dividend payout under stochastic discounting

Project: C4

Published: Mathematical Finance 32 (2022), 627–677

Singular control of the drift of a Brownian system

Project: C4

Published: Applied Mathematics and Optimization 84 (2021), 561–590

Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty

Project: C3, C4

Published: Advances in Applied Probability 54, no. 4 (2022), 1222–1251

Two-sided singular control of an inventory with unknown demand trend

Project: C4

Published: SIAM Journal on Control and Optimization 61, no. 5 (2023), 3076–3101

On an irreversible investment problem with two-factor uncertainty

Project: C4

Published: Quantitative Finance 22, no. 5 (2022), 907-921

Multidimensional singular control and related Skorokhod problem: Sufficient conditions for the characterization of optimal controls

Project: C4

Published: Stochastic Processes and their Applications 162 (2023), 547–592

Stationary discounted and ergodic mean field games of singular control

Project: C4

Published: Mathematics of Operations Research 48, no. 4 (2023), 1871–1898

Nonlinear filtering of partially observed systems arising in singular stochastic optimal control

Project: C4

Published: Applied Mathematics and Optimization 85 (2022), article number 12, 1–43

Optimal dividends under Markov-modulated bankruptcy level

Project: C4

Published: Insurance Mathematics and Economics 106 (2022), 146–172

A unifying framework for submodular mean field games

Project: C4, C5, C7

Published: Mathematics of Operations Research 48 (2023), 1679–1710

Optimal execution with multiplicative price impact and incomplete information on the return

Project: C4

Published: Finance and Stochastics 27, no. 3 (2023), 713–768

Consumption decision, portfolio choice and healthcare irreversible investment

Project: C4

Strong solutions to submodular mean field games with common noise and related McKean-Vlasov FBSDEs

Project: C4

To appear: Ann. Appl. Probab. (2025)

Linear-quadratic-singular stochastic differential games and applications

Project: C4

Published: Decisions Econ Finan (2023)

Notes: https://doi.org/10.1007/s10203-023-00422-0

Uncertainty over uncertainty in environmental policy adoption: Baysian learning of unpredictable socioeconomic costs

Project: C4

Published: Journal of Economic Dynamics and Control 161 (2024), Article number 104841

A stationary mean-field equilibrium moder of irreversible investment in a two-regime economy

Project: C4

Ergodic mean-field games of singular control with regime-switching

Project: C4

Irreversible reinsurance: minimization of capital injections in presence of a fixed cost

Project: C4

Published: Mathematics and Financial Economics 18 (2024), 707–733

A stochastic non-zero-sum game of controlling the debt-to-GDP ratio

Project: C4

Published: Applied Mathematics & Optimization 90 (2024), Article number 52

Notes: https://doi.org/10.1007/s00245-024-10194-7

Singular control in a cash management model with ambiguity

Project: C4

Optimal retirement choice under age-dependent force of mortality

Project: C4

Numerical approximation of Dynkin games with asymmetric information

Project: B3, C4

Published: SIAM Journal on Control and Optimization 63, no. 1 (2025), 256–291

Striking the balance: Life insurance timing and asset allocation in financial planning

Project: C4

Optimal consumption and investment under relative performance criteria with Epstein-Zin utility

Project: C3, C4, C5

A stationary equilibrium model of green technology adoption with endogenous carbon price

Project: C4

A mean-field model of optimal investment

Project: C4

Cooperation, correlation and competition in ergodic n-player games and mean-field games of singular controls: a case study

Project: C4

Variational inequalities and smooth-fit principle for singular stochastic control problems in Hilbert spaces

Project: B1, C3, C4

Exploratory optimal stopping: A singular control formulation

Project: C4

Pasting of equilibria and Donsker-type results for mean field games

Project: C4, C7

Partial regularity of semiconvex viscosity supersolutions to fully nonlinear elliptic HJB equations and applications to stochastic control

Project: C4

On the Singular Control of a Diffusion and Its Running Infimum or Supremum

Project: C4