Showing math.OCShow all
2 papers · 1 filter
math.OC2021
Optimal Dividends under Markov-Modulated Bankruptcy Level
Giorgio Ferrari, Patrick Schuhmann, Shihao Zhu
This paper proposes and studies an optimal dividend problem in which a two-state regime-switching environment affects the dynamics of the company's cash surplus and, as a novel fea…
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…