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math.OC2026
Consumption adjustment with mean-reverting risk premia: A singular stochastic control approach
Gugyum Ha, Junkee Jeon, Jehan Oh
We study a two-sided singular stochastic control problem in which changes in consumption carry utility costs and the risk premium follows the mean-reverting Kim-Omberg model. Optim…
math.OC2024
Nonsmooth Convex Optimization using the Specular Gradient Method with Root-Linear Convergence
Kiyuob Jung, Jehan Oh
We propose the specular gradient method for one-dimensional convex optimization. Assuming that the minimum is attained and a suitable initial distance bound holds, we establish R-l…