Zobrazeno 1 - 10
of 163
pro vyhledávání: '"ZERVOS, MIHAIL"'
Autor:
Liu, Zhesheng, Zervos, Mihail
We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a non-explosiv
Externí odkaz:
http://arxiv.org/abs/2403.17875
Autor:
Liu, Zhesheng, Zervos, Mihail
Publikováno v:
In Journal of Mathematical Analysis and Applications 1 February 2025 542(1)
We derive the explicit solutions to singular stochastic control problems of the monotone follower type with (a) an expected discounted criterion, (b) an expected ergodic criterion and (c) a pathwise ergodic criterion. These problems have been motivat
Externí odkaz:
http://arxiv.org/abs/2008.05576
We consider the problem of optimally stopping a general one-dimensional stochastic differential equation (SDE) with generalised drift over an infinite time horizon. First, we derive a complete characterisation of the solution to this problem in terms
Externí odkaz:
http://arxiv.org/abs/1903.03834
Autor:
Kladivko, Kamil, Zervos, Mihail
We consider the problem of ESO valuation in continuous time. In particular, we consider models that assume that an appropriate random time serves as a proxy for anything that causes the ESO's holder to exercise the option early, namely, reflects the
Externí odkaz:
http://arxiv.org/abs/1710.00897
Autor:
Kladívko, Kamil1 (AUTHOR) kamil.kladivko@oru.se, Zervos, Mihail2 (AUTHOR)
Publikováno v:
Mathematical Finance. Oct2023, Vol. 33 Issue 4, p1213-1247. 35p.
Autor:
Urusov, Mikhail, Zervos, Mihail
We consider the decreasing and the increasing $r$-excessive functions $\varphi_r$ and $\psi_r$ that are associated with a one-dimensional conservative regular continuous strong Markov process $X$ with values in an interval with endpoints $\alpha < \b
Externí odkaz:
http://arxiv.org/abs/1612.08387
Autor:
Rodosthenous, Neofytos, Zervos, Mihail
We consider a new family of derivatives whose payoffs become strictly positive when the price of their underlying asset falls relative to its historical maximum. We derive the solution to the discretionary stopping problems arising in the context of
Externí odkaz:
http://arxiv.org/abs/1609.07419
We develop a complete analysis of a general entry-exit-scrapping model. In particular, we consider an investment project that operates within a random environment and yields a payoff rate that is a function of a stochastic economic indicator such as
Externí odkaz:
http://arxiv.org/abs/1607.08406
Publikováno v:
Annals of Applied Probability 2015, Vol. 25, No. 1, 46-80
We consider a stochastic differential equation that is controlled by means of an additive finite-variation process. A singular stochastic controller, who is a minimizer, determines this finite-variation process, while a discretionary stopper, who is
Externí odkaz:
http://arxiv.org/abs/1212.2074