5 citations · 12 across the 12 of their papers we have counts for
13 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…
On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes
Dante Mata, Harold A. Moreno-Franco, Kei Noba +1
This paper studies the bailout optimal dividend problem with regime switching under the constraint that dividend payments can be made only at the arrival times of an independent Po…
On a mixed singular/switching control problem with multiples regimes
Mark Kelbert, Harold A. Moreno-Franco
This paper studies {a} mixed singular/switching stochastic control problem for a multidimensional diffusion with multiples regimes on a bounded domain. Using probabilistic, partial…
Optimal bail-out dividends problem with transaction cost and capital injection constraint
Mauricio Junca, Harold Moreno-Franco, José Luis Pérez
We consider the bail-out optimal dividend problem under fixed transaction costs for a Lévy risk model. Furthermore, we consider the version with a constraint expected net present v…
Optimality of refraction strategies for a constrained dividend problem
Mauricio Junca, Harold Moreno-Franco, José-Luis Pérez +1
We consider de Finetti's problem for spectrally one-sided Lévy risk models with control strategies that are absolutely continuous with respect to the Lebesgue measure. Furthermore,…
HJB equations with gradient constraint associated with controlled jump-diffusion processes
Mark Kelbert, Harold A. Moreno-Franco
In this paper, we guarantee the existence and uniqueness (in the almost everywhere sense) of the solution to a Hamilton-Jacobi-Bellman (HJB) equation with gradient constraint and a…
A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes
Camilo Hernandez, Mauricio Junca, Harold Moreno-Franco
We introduce a longevity feature to the classical optimal dividend problem by adding a constraint on the time of ruin of the firm. We extend the results in \cite{HJ15}, now in cont…
Solution to HJB equations with an elliptic integro-differential operator and gradient constraint
Harold A. Moreno-Franco
The main goal of this paper is to establish existence, regularity and uniqueness results for the solution of a Hamilton-Jacobi-Bellman (HJB) equation, whose operator is an elliptic…