Many dynamical systems have an impulsive dynamical behavior due to abrupt changes at
certain instants during the evolution process. The mathematical description of these …

We investigate infinite-horizon deterministic optimal control problems with both gradual and
impulsive controls, where any finitely many impulses are allowed simultaneously. Both …

In this paper, a characterization of the solution of impulse control problems in terms of
superharmonic functions is given. In a general Markovian framework, the value function of …

We study finite horizon optimal stopping problems for continuous-time Feller–Markov
processes. The functional depends on time, state, and external parameters and may exhibit …

We study optimal portfolio decisions for a retail investor that faces a strictly positive
transaction cost in a classical Black‐Scholes market. We provide a construction of optimal …

We study the problem of maximising expected utility of terminal wealth under constant and
proportional transaction costs in a multidimensional market with prices driven by a factor …

We consider stochastic impulse control problems when the impulses cost functions depend
on t and x. We use the approximation scheme and viscosity solutions approach to show that …

We consider an optimal investment problem for an investor facing constant and proportional
transaction costs and study the limit as the constant cost tends to zero. Combining the …

We consider impulse control of stochastic functional differential equations (SFDEs) driven by
Lévy processes under an additional L p-Lipschitz condition on the coefficients. Our results …

We study a general impulse control problem with execution delay, which means that there is
a time lag between a decision and the timing of its execution. Since the classical approach is …