17 citations · 61 across the 17 of their papers we have counts for
18 papers
Outrunning the Omega Clock: A Singular Control Problem for Dividend Optimisation with Ruin and Time-in-Distress Default
Andi Bodnariu, Nils Engler, Neofytos Rodosthenous
This paper extends the classical dividend problem by incorporating a novel, path-dependent mechanism of firm default. In the traditional framework, ruin occurs when the surplus pro…
Time-inconsistent singular control problems: Reflection and Absolutely continuous controls with exploding rates
Andi Bodnariu, Kristoffer Lindensjö, Neofytos Rodosthenous
We study a time-inconsistent singular stochastic control problem for a general one-dimensional diffusion, where time-inconsistency arises from a non-exponential discount function.…
On the applicability of the maximality principle in optimal stopping: an example involving a diffusion and its running maximum
Neofytos Rodosthenous, Mihail Zervos
The maximality principle has proved to be a valuable tool for identifying the optimal stopping boundaries in optimal stopping problems involving one-dimensional time-homogeneous di…
On the Singular Control of a Diffusion and its Running Infimum or Supremum
Giorgio Ferrari, Neofytos Rodosthenous
We study a class of singular stochastic control problems for a one-dimensional diffusion in which the performance criterion to be optimised depends explicitly on the running in…
The one-shot problem: Solution to an open question of finite-fuel singular control with discretionary stopping
John Moriarty, Neofytos Rodosthenous
We resolve a long-standing open question posed by Karatzas, Ocone, Wang, and Zervos (Stochastics, 2000) on finite-fuel singular stochastic control with discretionary stopping. Our…
A Stochastic Non-Zero-Sum Game of Controlling the Debt-to-GDP Ratio
Felix Dammann, Neofytos Rodosthenous, Stéphane Villeneuve
We introduce a non-zero-sum game between a government and a legislative body to study the optimal level of debt. Each player, with different time preferences, can intervene on the…
Uncertainty over Uncertainty in Environmental Policy Adoption: Bayesian Learning of Unpredictable Socioeconomic Costs
Matteo Basei, Giorgio Ferrari, Neofytos Rodosthenous
The socioeconomic impact of pollution naturally comes with uncertainty due to, e.g., current new technological developments in emissions' abatement or demographic changes. On top o…
Non-zero-sum optimal stopping game with continuous versus periodic exercise opportunities
José Luis Pérez, Neofytos Rodosthenous, Kazutoshi Yamazaki
We introduce a new non-zero-sum game of optimal stopping with asymmetric exercise opportunities. Given a stochastic process modelling the value of an asset, one player observes and…
Artificial intelligence applied to bailout decisions in financial systemic risk management
Daniele Petrone, Neofytos Rodosthenous, Vito Latora
We describe the bailout of banks by governments as a Markov Decision Process (MDP) where the actions are equity investments. The underlying dynamics is derived from the network of…
Two-sided Singular Control of an Inventory with Unknown Demand Trend (Extended Version)
Salvatore Federico, Giorgio Ferrari, Neofytos Rodosthenous
We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brown…
When to sell an asset amid anxiety about drawdowns
Neofytos Rodosthenous, Hongzhong Zhang
We consider risk averse investors with different levels of anxiety about asset price drawdowns. The latter is defined as the distance of the current price away from its best perfor…
Discretionary stopping of stochastic differential equations with generalised drift
Mihail Zervos, Neofytos Rodosthenous, Pui Chan Lon +1
We consider the problem of optimally stopping a general one-dimensional stochastic differential equation (SDE) with generalised drift over an infinite time horizon. First, we deriv…
Optimal Control of Debt-to-GDP Ratio in an N-state Regime Switching Economy
Giorgio Ferrari, Neofytos Rodosthenous
We solve an infinite time-horizon bounded-variation stochastic control problem with regime switching between states. This is motivated by the problem of a government that wants…
Beating the Omega Clock: An Optimal Stopping Problem with Random Time-horizon under Spectrally Negative Lévy Models
Neofytos Rodosthenous, Hongzhong Zhang
We study the optimal stopping of an American call option in a random time-horizon under exponential spectrally negative Lévy models. The random time-horizon is modeled as the so-ca…
Watermark Options
Neofytos Rodosthenous, Mihail Zervos
We consider a new family of derivatives whose payoffs become strictly positive when the price of their underlying asset falls relative to its historical maximum. We derive the solu…
Perpetual American options in diffusion-type models with running maxima and drawdowns
Pavel V. Gapeev, Neofytos Rodosthenous
We study perpetual American option pricing problems in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depen…
Robustness of the -CUSUM stopping rule in a Wiener disorder problem
Hongzhong Zhang, Neofytos Rodosthenous, Olympia Hadjiliadis
We study a Wiener disorder problem of detecting the minimum of change-points in observation channels coupled by correlated noises. It is assumed that the observations in ea…
Optimal stopping problems in diffusion-type models with running maxima and drawdowns
Pavel V. Gapeev, Neofytos Rodosthenous
We study optimal stopping problems related to the pricing of perpetual American options in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates…