From the 1 of 7 linked papers with an AI index.
7 papers
The one-shot problem: Solution to an open question of finite-fuel singular control with discretionary stopping
John Moriarty, Neofytos Rodosthenous
The paper solves a long‑standing open problem on finite‑fuel singular stochastic control with discretionary stopping by introducing a novel one‑shot technique that reduces the prob…
On the Singular Control of a Diffusion and its Running Infimum or Supremum
Giorgio Ferrari, Neofytos Rodosthenous
We study a class of singular stochastic control problems for a one-dimensional diffusion in which the performance criterion to be optimised depends explicitly on the running in…
Outrunning the Omega Clock: A Singular Control Problem for Dividend Optimisation with Ruin and Time-in-Distress Default
Andi Bodnariu, Nils Engler, Neofytos Rodosthenous
This paper extends the classical dividend problem by incorporating a novel, path-dependent mechanism of firm default. In the traditional framework, ruin occurs when the surplus pro…
Time-inconsistent singular control problems: Reflection and Absolutely continuous controls with exploding rates
Andi Bodnariu, Kristoffer Lindensjö, Neofytos Rodosthenous
We study a time-inconsistent singular stochastic control problem for a general one-dimensional diffusion, where time-inconsistency arises from a non-exponential discount function.…
Optimal stopping involving a diffusion and its running maximum: a generalisation of the maximality principle
Neofytos Rodosthenous, Mihail Zervos
The maximality principle has been a valuable tool in identifying the free-boundary functions that are associated with the solutions to several optimal stopping problems involving o…
A Stochastic Non-Zero-Sum Game of Controlling the Debt-to-GDP Ratio
Felix Dammann, Neofytos Rodosthenous, Stéphane Villeneuve
We introduce a non-zero-sum game between a government and a legislative body to study the optimal level of debt. Each player, with different time preferences, can intervene on the…