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math.OC2025
A Calculus of Variations Approach to Stochastic Control
Matthew Lorig
We use classical tools from calculus of variations to formally derive necessary conditions for a Markov control to be optimal in a standard finite time horizon stochastic control p…
q-fin.MF2025
Short-Rate Derivatives in a Higher-for-Longer Environment
Aram Karakhanyan, Takis Konstantopoulos, Matthew Lorig +1
We introduce a class of short-rate models that exhibit a ``higher for longer'' phenomenon. Specifically, the short-rate is modeled as a general time-homogeneous one-factor Markov d…