We investigate a game of singular control and strategic exit in a model of competitive market share control. In the model, each player can make irreversible investments to increase his market share which is modeled as a diffusion process. In addition, each player has an option to exit the market...

This paper studies the valuation of multiple American options in an incomplete market where asset prices follow Markov-modulated dynamics. The holder's optimal hedging and exercising strategies are determined from a utility maximization problem with optimal multiple stopping. We analyze the...

We study a stochastic control approach to managed futures portfolios. Building on the Schwartz (1997) stochastic convenience yield model for commodity prices, we formulate a utility maximization problem for dynamically trading a single-maturity futures or multiple futures contracts over a finite...