6 citations · 12 across the 6 of their papers we have counts for
4 papers · 1 filter
Duopoly Investment Problems with Minimally Bounded Adjustment Costs
David Mguni
In this paper, we study two-player investment problems with investment costs that are bounded below by some fixed positive constant. We seek a description of optimal investment str…
Optimal Capital Injections with the Risk of Ruin: A Stochastic Differential Game of Impulse Control and Stopping Approach
David Mguni
We consider an investment problem in which an investor performs capital injections to increase the liquidity of a firm for it to maximise profit from market operations. Each time t…
Optimal Selection of Transaction Costs in a Dynamic Principal-Agent Problem
David Mguni
Environments with fixed adjustment costs such as transaction costs or \lq menu costs\rq are widespread within economic systems. The presence of fixed minimal adjustment costs pr…
A Viscosity Approach to Stochastic Differential Games of Control and Stopping Involving Impulsive Control
David Mguni
This paper analyses a stochastic differential game of control and stopping in which one of the players modifies a diffusion process using impulse controls, an adversary then choose…