38 citations · 76 across the 11 of their papers we have counts for
4 papers · 1 filter
A risk-sensitive ergodic singular stochastic control problem
Justin Gwee, Mihail Zervos
We consider a two-sided singular stochastic control problem with a risk-sensitive ergodic criterion. In particular, we consider a stochastic system whose uncontrolled dynamics are…
The Solution to an Impulse Control Problem Motivated by Optimal Harvesting
Zhesheng Liu, Mihail Zervos
We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic s…
Singular stochastic control problems motivated by the optimal sustainable exploitation of an ecosystem
Gechun Liang, Zhesheng Liu, Mihail Zervos
We derive the explicit solutions to singular stochastic control problems of the monotone follower type with (a) an expected discounted criterion, (b) an expected ergodic criterion…
An Investment Model with Switching Costs and the Option to Abandon
Mihail Zervos, Carlos Oliveira, Kate Duckworth
We develop a complete analysis of a general entry-exit-scrapping model. In particular, we consider an investment project that operates within a random environment and yields a payo…