11 citations · 11 across the 4 of their papers we have counts for
6 papers
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…
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…
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…
On a Class of Optimal Stopping Problems with Applications to Real Option Theory
Manuel Guerra, Cláudia Nunes, Carlos Oliveira
We consider an optimal stopping time problem related with many models found in real options problems. The main goal of this work is to bring for the field of real options, differen…
An Investment Model with Switching Costs and the Option to Abandon
Mihail Zervos, Carlos Oliveira, Kate Duckworth
We develop a complete analysis of a general entry-exit-scrapping model. In particular, we consider an investment project that operates within a random environment and yields a payo…
New Approach to Derive the Value Function of a Firm with Exit Option
Manuel Guerra, Cláudia Nunes, Carlos Oliveira
In this paper we propose a new way of proving the value of a firm that is currently producing a certain product and faces the option to exit the market. The problem of optimal exit…