This paper establishes existence of optimal controls for a general stochastic impulse control problem. For this, the value function is characterized as the pointwise minimum of a set of superharmonic functions, as the unique continuous viscosity solution of the quasi-variational inequalities,...

We study the problem of maximizing expected utility of terminal wealth under constant and proportional transactions costs in a multidimensional market with prices driven by a factor process. We show that the value function is the unique viscosity solution of the associated quasi-variational...

We study a portfolio optimization problem in a market which is under the threat of crashes. At random times, the investor receives a warning that a crash in the risky asset might occur. We construct a strategy which renders the investor indifferent about an immediate crash of maximum size and no...