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Optimal drift rate control and two-sided impulse control for a Brownian system with the long-run average criterion
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- Advances in Applied Probability , First View
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- 31 July 2024, pp. 1-34
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De Finetti’s control problem with a concave bound on the control rate
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- Journal of Applied Probability , First View
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- 25 January 2024, pp. 1-17
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Characterization of the optimal average cost in Markov decision chains driven by a risk-seeking controller
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- Journal of Applied Probability / Volume 61 / Issue 1 / March 2024
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- 21 July 2023, pp. 340-367
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- March 2024
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Optimal coupling of jumpy Brownian motion on the circle
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- Journal of Applied Probability / Volume 61 / Issue 1 / March 2024
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- 04 July 2023, pp. 18-32
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- March 2024
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Measuring the suboptimality of dividend controls in a Brownian risk model
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- Advances in Applied Probability / Volume 55 / Issue 4 / December 2023
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- 07 June 2023, pp. 1442-1472
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- December 2023
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Optimal proportional reinsurance to maximize an insurer’s exponential utility under unobservable drift
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- Journal of Applied Probability / Volume 60 / Issue 3 / September 2023
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- 21 February 2023, pp. 874-894
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- September 2023
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A dual risk model with additive and proportional gains: ruin probability and dividends
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- Advances in Applied Probability / Volume 55 / Issue 2 / June 2023
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- 08 February 2023, pp. 549-580
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- June 2023
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On a mixed singular/switching control problem with multiple regimes
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- Advances in Applied Probability / Volume 54 / Issue 3 / September 2022
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- 22 August 2022, pp. 743-782
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- September 2022
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Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations
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- Advances in Applied Probability / Volume 54 / Issue 4 / December 2022
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- 14 June 2022, pp. 1222-1251
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- December 2022
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Discrete-time risk-aware optimal switching with non-adapted costs
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- Advances in Applied Probability / Volume 54 / Issue 2 / June 2022
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- 06 June 2022, pp. 625-655
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- June 2022
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Moment-constrained optimal dividends: precommitment and consistent planning
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- Advances in Applied Probability / Volume 54 / Issue 2 / June 2022
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- 06 June 2022, pp. 404-432
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- June 2022
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Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance
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- Journal of Applied Probability / Volume 59 / Issue 2 / June 2022
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- 30 March 2022, pp. 527-540
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- June 2022
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Optimal entry and consumption under habit formation
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- Advances in Applied Probability / Volume 54 / Issue 2 / June 2022
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- 10 March 2022, pp. 433-459
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- June 2022
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OPTIMAL PORTFOLIO AND CONSUMPTION FOR A MARKOVIAN REGIME-SWITCHING JUMP-DIFFUSION PROCESS
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- The ANZIAM Journal / Volume 63 / Issue 3 / July 2021
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- 21 July 2021, pp. 308-332
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Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift
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- Journal of Applied Probability / Volume 58 / Issue 1 / March 2021
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- 25 February 2021, pp. 197-216
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- March 2021
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On the policy improvement algorithm for ergodic risk-sensitive control
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- Proceedings of the Royal Society of Edinburgh. Section A: Mathematics / Volume 151 / Issue 4 / August 2021
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- 02 September 2020, pp. 1305-1330
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- August 2021
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Optimal stopping for measure-valued piecewise deterministic Markov processes
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- Journal of Applied Probability / Volume 57 / Issue 2 / June 2020
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- 16 July 2020, pp. 497-512
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- June 2020
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A renewal theory approach to two-state switching problems with infinite values
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- Journal of Applied Probability / Volume 57 / Issue 1 / March 2020
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- 04 May 2020, pp. 1-18
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- March 2020
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On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models
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- Journal of Applied Probability / Volume 55 / Issue 4 / December 2018
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- 16 January 2019, pp. 1272-1286
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- December 2018
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Optimal consumption of multiple goods in incomplete markets
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- Journal of Applied Probability / Volume 55 / Issue 3 / September 2018
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- 16 November 2018, pp. 810-822
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- September 2018
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