We introduce a numerical method to solve stochastic optimal control problems, which are linear in the control. We facilitate the idea of solving two-point boundary value problems with spline functions in order to solve the resulting dynamic programming equation. We then show how to effectively...

In this article, we study the situation, where by partial privatization a private company is given the opportunity to invest into a government owned business. After payment of an initial instalment cost, the private company's investments are flexible within a range $[0,k]$ until the business is...

We adapt the evolutionary stock market model from Evstigneev, Hens, Schenk-Hoppeacute; (2006) to a continuous time framework, where uncertainty in dividends is produced by a single Wiener process. The setup is therefore significantly different from Yang and Ewald (2008), who also study continuous...