44 citations · 84 across the 22 of their papers we have counts for
7 papers · 1 filter
On the One-Dimensional Optimal Switching Problem
Erhan Bayraktar, Masahiko Egami
We explicitly solve the optimal switching problem for one-dimensional diffusions by directly employing the dynamic programming principle and the excessive characterization of the v…
A Direct Method for Solving Optimal Switching Problems of One-Dimensional Diffusions
Masahiko Egami
In this paper, we propose a direct solution method for optimal switching problems of one-dimensional diffusions. This method is free from conjectures about the form of the value fu…
The Effects of Implementation Delay on Decision-Making Under Uncertainty
Erhan Bayraktar, Masahiko Egami
In this paper, we accomplish two objectives: First, we provide a new mathematical characterization of the value function for impulse control problems with implementation delay and…
A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions
Masahiko Egami
We consider stochastic impulse control problems where the process is driven by a general one-dimensional diffusion. We shall show a new mathematical characterization of the value f…
A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays
Erhan Bayraktar, Masahiko Egami
In this paper we solve the dividend optimization problem for a corporation or a financial institution when the managers of the corporation are facing (regulatory) implementation de…
Optimizing Venture Capital Investments in a Jump Diffusion Model
Erhan Bayraktar, Masahiko Egami
We study a practical optimization problems for venture capital investments and/or Research and Development (R&D) investments. The first problem is that, given the amount of the ini…
An Analysis of Monotone Follower Problems for Diffusion Processes
Erhan Bayraktar, Masahiko Egami
We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness…