1 citations · 2 across the 7 of their papers we have counts for
12 papers
Optimal extraction with an impact on diffusion-jump pricing
Johanna Garzón, Jhonatan S. Mora Rodríguez, Harold A. Moreno-Franco
We study an optimal extraction problem where the agent's actions in the spot market exert an additive proportional negative impact on the commodity price. The commodity price dynam…
Optimal Liquidation in a Defaultable Market
Daniel Hernández-Hernńdez, Harold A. Moreno-Franco, José-Luis Pérez
In this paper we address the problem of optimal liquidation of a large portfolio composed by securities exposed to default risk. The default time is described in terms of a Brownia…
On the Bailout Dividend Problem with Periodic Dividend Payments and Fixed Transaction Costs
Harold A. Moreno-Franco, Jose-Luis Pérez
We study the optimal bailout dividend problem with transaction costs for an insurance company, where shareholder payouts align with the arrival times of an independent Poisson proc…
An Optimal Periodic Dividend and Risk Control Problem for an Insurance Company
Mark Kelbert, Harold A. Moreno-Franco
We study the problem of optimal risk policies and dividend strategies for an insurance company operating under the constraint that the timing of shareholder payouts is governed by…
An optimal multibarrier strategy for a singular stochastic control problem with a state-dependent reward
Mauricio Junca, Harold Moreno-Franco, Jose Luis Perez
We consider a singular control problem that aims to maximize the expected cumulative rewards, where the instantaneous returns depend on the state of a controlled process. The contr…
A mixed singular/switching control problem with terminal cost for modulated diffusion processes
Mark Kelbert, Harold A. Moreno-Franco
In this paper, we study the regularity of the value function associated with a stochastic control problem where two controls act simultaneously on a modulated multidimensional diff…