3 papers
math.PR2020
Time-symmetric optimal stochastic control problems in space-time domains
Ana Bela Cruzeiro, Carlos Oliveira, Jean-Claude Zambrini
We present a pair of adjoint optimal control problems characterizing a class of time-symmetric stochastic processes defined on random time intervals. The associated PDEs are of fre…
math.PR2018
Optimal Investment Decision Under Switching regimes of Subsidy Support
Carlos Oliveira, Nicolas Perkowski
We address the problem of making a managerial decision when the investment project is subsidized, which results in the resolution of an infinite-horizon optimal stopping problem of…
math.PR2017
Optimal stopping of one-dimensional diffusions with integral criteria
Manuel Guerra, Cláudia Nunes, Carlos Oliveira
This paper provides a full characterization of the value function and solution(s) of an optimal stopping problem for a one-dimensional diffusion with an integral criterion. The res…