The construction of automatic Financial Trading Systems (FTSs) is a subject of research of high interest for both academic environment and financial one due to the potential promises by self-learning methodologies and by the increasing power of actual computers. In this paper we consider...

We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is governed by a stochastic process. We focus on model risk arising from different specifications for the mortality intensity. To do so we assume that the mortality intensity is...

We solve an agent's optimization problem of meeting demands for cash over time with cash deposited in bank or invested in stock. The stock pays dividends and uncertain capital gains, and a commission is incurred in buying and selling of stock. We use a stochastic maximum principle to obtain...

A model of pollution control subject to two types of uncertainty is presented. First, the natural decay of the pollution stock follows stochastic dynamics that drives a diffusion pollution process (“stochastic uncertainty”). Moreover, the damage coefficient which determines the amount of...

The dual model with diffusion is appropriate for companies with continuous expenses that are offset by stochastic and irregular gains. Examples include research-based or commission-based companies. In this context, Bayraktar et al. (2013a) show that a dividend barrier strategy is optimal when...

We study a problem of optimal consumption and portfolio selection in a market where the logreturns of the uncertain assets are not necessarily normally distributed. The natural models then involve pure-jump Lévy processes as driving noise instead of Brownian motion like in the Black and Scholes...

The paper provides a systematic way for finding a partial differential equation that characterize directly the optimal control, in the framework of one?dimensional stochastic control problems of Mayer, with no constraints on the controls. The results obtained are applied to some significative...

Global emissions beyond 44 gigatonnes of carbondioxide equivalent (GtCO2e) in 2020 can potentially lead the world to an irreversible climate change. Employing a novel dynamical system modeling approach, we predict that in a business-asusual scenario, it will reach 61 GtCO2e by 2020. Testing...

In this paper I study the optimal control path for a (capital or pollution) stock which accumulates time with a lag to its control. It is shown that the optimal control path is non-monotonic and cyclical in general, but it is monotonic if the objective function is additively separable in the...

In Europe, the availability of renewable energies, especially from sun and wind, differs significantly across regions. Consequently, cooperation in the deployment of renewable energy among European countries potentially yields substantial efficiency gains. However, in order to achieve the 2020...