We solve explicitly a two-dimensional singular control problem of finite fuel type for an
infinite time horizon. The problem stems from the optimal liquidation of an asset position in a …

We start with a stochastic control problem where the control process is of finite variation
(possibly with jumps) and acts as integrator both in the state dynamics and in the target …

A price-maker company extracts an exhaustible commodity from a reservoir, and sells it in
the spot market. In absence of any actions of the company, the commodity's spot price …

We prove continuity of a controlled SDE solution in Skorokhod's M_1 and J_1 topologies
and also uniformly, in probability, as a nonlinear functional of the control strategy. The …

We analyze an optimal trade execution problem in a financial market with stochastic
liquidity. To this end we set up a limit order book model in which both order book depth and …

The present paper is focused on the solution of optimal control problems such as optimal
acquisition, optimal liquidation, and market making in relation to the high-frequency trading …

We consider a general path-dependent version of the hedging problem with price impact of
Bouchard et al.(SIAM J. Control Optim. 57 (2019) 4125–4149), in which a dual formulation …

We consider a price-maker company which generates electricity and sells it in the spot
market. The company can increase its level of installed power by irreversible installations of …

We extend the study of [B. Bouchard, G. Loeper, and Y. Zou, SIAM J. Control Optim., 55
(2017), pp. 3319--3348; G. Loeper, Ann. Appl. Probab., 28 (2018), pp. 2664--2726] …

Starting from the model in Koch and Vargiolu (SIAM J Control Optim 59 (4): 3068–3095,
2021), we test the real impact of current renewable installed power in the electricity price in …