24 citations · 44 across the 6 of their papers we have counts for
7 papers
Utility Maximisation with Model-independent Constraints
Alexander M. G. Cox, Daniel Hernandez-Hernandez
We consider an agent who has access to a financial market, including derivative contracts, who looks to maximise her utility. Whilst the agent looks to maximise utility over one pr…
Worst portfolios for dynamic monetary utility processes
Daniel Hernandez-Hernandez, Oscar Hernan Madrid Padilla
We study the worst portfolios for a class of law invariant dynamic monetary utility functions with domain in a class of stochastic processes. The concept of comonotonicity is intro…
Zero-sum stochastic differential games without the Isaacs condition: random rules of priority and intermediate Hamiltonians
Daniel Hernández-Hernández, Mihai Sîrbu
For a zero-sum stochastic game which does not satisfy the Isaacs condition, we provide a value function representation for an Isaacs-type equation whose Hamiltonian lies in between…
Optimality of Refraction Strategies for Spectrally Negative Levy Processes
Daniel Hernandez-Hernandez, Jose-Luis Perez, Kazutoshi Yamazaki
We revisit a stochastic control problem of optimally modifying the underlying spectrally negative Levy process. A strategy must be absolutely continuous with respect to the Lebesgu…
Games of singular control and stopping driven by spectrally one-sided Levy processes
Daniel Hernandez-Hernandez, Kazutoshi Yamazaki
We study a zero-sum game where the evolution of a spectrally one-sided Levy process is modified by a singular controller and is terminated by the stopper. The singular controller m…
A zero-sum game between a singular stochastic controller and a discretionary stopper
Daniel Hernandez-Hernandez, Robert S. Simon, Mihail Zervos
We consider a stochastic differential equation that is controlled by means of an additive finite-variation process. A singular stochastic controller, who is a minimizer, determines…