We consider the problem of a government that wants to manage the country's debt-to- GDP (gross domestic product) ratio. The latter evolves stochastically in continuous time, and its drift is given by the interest rate on government debt, net of the growth rate of GDP. We further allow the...

We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brownian motion with non-observable drift can be singularly controlled in both an upward and downward direction. We first...

The socioeconomic impact of pollution naturally comes with uncertainty due to, e.g., current new technological developments in emissions' abatement or demographic changes. On top of that, the trend of the future costs of the environmental damage is unknown: Will global warming dominate or...

We solve an infinite time-horizon bounded-variation stochastic control problem with regime switching between N states. This is motivated by the problem of a government that wants to control the country's debt-to-GDP (gross domestic product) ratio. In our formulation, the debt-to-GDP ratio...

We consider the problem of a government that wants to manage the country's debt-to- GDP (gross domestic product) ratio. The latter evolves stochastically in continuous time, and its drift is given by the interest rate on government debt, net of the growth rate of GDP. We further allow the...

We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brownian motion with non-observable drift can be singularly controlled in both an upward and downward direction. We first...

The socioeconomic impact of pollution naturally comes with uncertainty due to, e.g., current new technological developments in emissions' abatement or demographic changes. On top of that, the trend of the future costs of the environmental damage is unknown: Will global warming dominate or...

We obtain closed-form expressions for the value of the joint Laplace transform of the running maximum and minimum of a diffusion-type process stopped at the first time at which the associated drawdown or drawup process hits a constant level before an independent exponential random time. It is...