We consider an illiquid financial market with different regimes modeled by a continuous-time
finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a …

This article studies the optimal control of energy storage when operations are permitted only
at random times. At the arrival of a permission, the storage operator has the option, but not …

We consider the problem of maximization of expected terminal power utility (risk sensitive
criterion). The underlying market model is a regime-switching diffusion model where the …

We consider the portfolio optimization problem for the criterion of maximization of expected
terminal log-utility. The underlying market model is a regime-switching diffusion model …

We consider an investment problem where observing and trading are only possible at
random times. In addition, we introduce drawdown constraints which require that the …

We consider an illiquid financial market with different regimes modeled by a continuous-time
finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a …

Cette thèse est constituée de deux parties pouvant être lues indépendamment. Dans la
première partie on s' intéresse à la modélisation mathématique du risque de liquidité …

This dissertation studies a class of path-dependent stochastic control problems with
applications to Finance. In particular, we solve the open problem of the continuous time …

Recent developments in energy storage technology and the greater use of renewables have
increased interest in energy storage. Along with the unique capabilities and characteristics …

In classical portfolio allocation problems an investor may invest his wealth in a financial
market, which usually consists of a finite number of risky assets and a riskless asset …