Supply chains today routinely use third parties for many strategic activities, such as manufacturing, R&D, or software development. These activities often include relationship-specific investment on the part of the vendor, while final outcomes can be uncertain. Therefore, writing complete...

This paper treats the risk-averse optimal portfolio problem with consumption in continuous time for a stochastic-jump-volatility, jump-diffusion (SJVJD) model of the underlying risky asset and the volatility. The new developments are the use of the SJVJD model with...

We propose a novel linear approximation of expected utility. The approximation guides us as we transfer the traditional quadratic dependence of third-order stochastic dominance (TSD) into an equivalent linear system. The finding also shows a dual relationship between traditional low partial...

We study a membrane voltage potential model by means of stochastic control of meanfield stochastic differential equations (SDEs) and by deep learning techniques. The mean-field stochastic control problem is a new type, involving the expected value of a combination of the state X(t) and the...

In this paper, first we study a stochastic volatility market model for which an explicit candidate solution to the problem of maximizing utility function of terminal wealth is obtained. Applying this result, we present a complete solution for the Heston model which is a particular case of the...

Policy makers constantly face optimal control problems: what controls allow to achieve certain targets in, e.g., GDP growth or inflation? Conventionally this is done by applying certain linear- quadratic optimization algorithms to dynamic econometric models. Several algorithms extend this...

We present a model of firm investment under uncertainty and partial irreversibility in which uncertainty is represented by a jump diffusion. This allows to represent both the continuous Gaussian volatility and the discontinuous uncertainty related to information arrival, sudden changes and large...