The main objective of this book is to give an overview of the theory of Hamilton–Jacobi–
Bellman (HJB) partial differential equations (PDEs) in infinite-dimensional Hilbert spaces …

This paper studies an optimal investment problem for a defined-contribution (DC) pension
plan during the accumulation phase, where a pension member contributes a predetermined …

We study the valuation and hedging problem of European options in a market subject to
liquidity shocks. Working within a Markovian regime-switching setting, we model illiquidity as …

We consider an optimal investment problem to maximize expected utility of the terminal
wealth, in an illiquid market with search frictions and transaction costs. In the market model …

Optimal product management problems with multiple product generations in continuous time
lead to the consideration of dynamic optimal control problems that feature both intervention …

We introduce a dynamic credit portfolio framework where optimal investment strategies are
robust against misspecifications of the reference credit model. The risk-averse investor …

We develop a general yet simple technique for solving Poissonian timing problems of linear
diffusions by relying on the close connection of the extremal processes and the first passage …

We study a problem of optimal investment/consumption over an infinite horizon in a market
with two possibly correlated assets: one liquid and one illiquid. The liquid asset is observed …

This paper investigates the optimal investment problem in a market with two types of
illiquidity: transaction costs and search frictions. Extending the framework established by …

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 …