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Skip to Search Results- 1Classical-Switching Stochastic Control
- 1Economic Analysis
- 1Finance
- 1Financial Crisis
- 1Hamilton-Jacobi-Bellman equations
- 1Optimal Consumption and Investment
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Fall 2024
We consider the problem of a firm that wants to maximize its earnings. Production generates pollution as a by-product and has a negative impact on the environment. This negative impact causes disutility. The firm determines the optimal production rate and chooses between two types of technologies...
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Fall 2014
Financial systemic crisis could be broadly understood as the deterioration of the banking sector which results in damage to the real economy. From elementary accounting, a firm's financial position can be characterized by the value of its asset holdings versus the amount it borrow from others. If...
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Fall 2015
We develop stochastic control models for optimal government policies. We study three problems: (1) the optimal debt ceiling, (2) the optimal currency portfolio, and (3) the optimal management of the stabilization funds. The results of this research provide insights that are useful to...
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Spring 2015
Motivated by the financial crisis of 2007-2009 and the increasing demand for portfolio and risk management, we study optimal insurance and investment problems with regime switching in this thesis. We incorporate an insurable risk into the classical consumption and investment framework and...