2 papers
math.OC2019
A Singular Stochastic Control Problem with Interconnected Dynamics
Salvatore Federico, Giorgio Ferrari, Patrick Schuhmann
In this paper we study a Markovian two-dimensional bounded-variation stochastic control problem whose state process consists of a diffusive mean-reverting component and of a purely…
q-fin.MF2018
An Optimal Dividend Problem with Capital Injections over a Finite Horizon
Giorgio Ferrari, Patrick Schuhmann
In this paper we propose and solve an optimal dividend problem with capital injections over a finite time horizon. The surplus dynamics obeys a linearly controlled drifted Brownian…