2 papers
math.PR2019
A Class of Solvable Multidimensional Stopping Problems in the Presence of Knightian Uncertainty
Luis H. R. Alvarez E., Sören Christensen
We investigate the impact of Knightian uncertainty on the optimal timing policy of an ambiguity averse decision maker in the case where the underlying factor dynamics follow a mult…
math.PR2018
Optimal sustainable harvesting of populations in random environments
Luis H. R. Alvarez E., Alexandru Hening
We study the optimal sustainable harvesting of a population that lives in a random environment. The novelty of our setting is that we maximize the asymptotic harvesting yield, both…