97 citations · 798 across the 62 of their papers we have counts for
3 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…
A mixed singular/switching control problem for a dividend policy with reversible technology investment
Vathana Ly Vath, Huyên Pham, Stéphane Villeneuve
We consider a mixed stochastic control problem that arises in Mathematical Finance literature with the study of interactions between dividend policy and investment. This problem co…
Backward SDEs with constrained jumps and quasi-variational inequalities
Idris Kharroubi, Jin Ma, Huyên Pham +1
We consider a class of backward stochastic differential equations (BSDEs) driven by Brownian motion and Poisson random measure, and subject to constraints on the jump component. We…