Investment decision making is usually a multi-objective optimization problem in an uncertain
environment. In a real-life scenario, an investor aims to choose a portfolio based on his/her …

We propose the use of a mean quadratic variation criteria to determine an optimal trading
strategy in the presence of price impact. We derive the Hamilton Jacobi Bellman (HJB) …

In this paper, we outline an impulse stochastic control formulation for pricing variable
annuities with a guaranteed minimum withdrawal benefit (GMWB) assuming the …

The optimal trade execution problem is formulated in terms of a mean-variance tradeoff, as
seen at the initial time. The mean-variance problem can be embedded in a linear–quadratic …

This paper studies regularity properties of the value function for an infinite-horizon
discounted cost impulse control problem, where the underlying controlled process is a …

This paper discusses an uncertain multi-period portfolio selection problem in the situation
where the future security return rates are given by experts' estimations instead of historical …

We consider the optimal control of a multidimensional cash management system where the
cash balances fluctuate as a homogeneous diffusion process in Rn. We formulate the model …

General theorems for existence and uniqueness of viscosity solutions for Hamilton–Jacobi–
Bellman quasi-variational inequalities (HJBQVI) with integral term are established. Such …

We develop an efficient pricing approach for guaranteed minimum withdrawal benefits
(GMWBs) with continuous withdrawals under a realistic modeling setting with jump …

We study a two-player zero-sum stochastic differential game with both players adopting
impulse controls, on a finite time horizon. The Hamilton--Jacobi--Bellman--Isaacs (HJBI) …