90 citations · 91 across the 4 of their papers we have counts for
4 papers · 1 filter
Optimal consumption policies in illiquid markets
Alessandra Cretarola, Fausto Gozzi, Huyên Pham +1
We investigate optimal consumption policies in the liquidity risk model introduced in Pham and Tankov (2007). Our main result is to derive smoothness results for the value function…
Impulse control problem on finite horizon with execution delay
Benjamin Bruder, Huyen Pham
We consider impulse control problems in finite horizon for diffusions with decision lag and execution delay. The new feature is that our general framework deals with the important…
On some recent aspects of stochastic control and their applications
Huyen Pham
This paper is a survey on some recent aspects and developments in stochastic control. We discuss the two main historical approaches, Bellman's optimality principle and Pontryagin's…
On the smooth-fit property for one-dimensional optimal switching problem
Huyen Pham
This paper studies the problem of optimal switching for one-dimensional diffusion, which may be regarded as sequential optimal stopping problem with changes of regimes. The resulti…