3 papers
math.OC2014
Optimal multi-dimensional stochastic harvesting with density-dependent prices
Luis H. R. Alvarez, Edward Lungu, Bernt Øksendal
We prove a verification theorem for a class of singular control problems which model optimal harvesting with density-dependent prices or optimal dividend policy with capital-depend…
q-fin.PR2013
A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions
Luis H. R. Alvarez E., Pekka Matomäki, Teppo A. Rakkolainen
We consider the optimal stopping of a class of spectrally negative jump diffusions. We state a set of conditions under which the value is shown to have a representation in terms of…
q-fin.RM2010
A Loan Portfolio Model Subject to Random Liabilities and Systemic Jump Risk
Luis H. R. Alvarez, Jani Sainio
We extend the Vasiček loan portfolio model to a setting where liabilities fluctuate randomly and asset values may be subject to systemic jump risk. We derive the probability distri…