We study the problem of a policymaker who aims at taming the spread of an epidemic while
minimizing its associated social costs. The main feature of our model lies in the fact that the …

We consider a general nonzero-sum impulse game with two players. The main
mathematical contribution of this paper is a verification theorem that provides, under some …

We develop an efficient pricing approach for guaranteed minimum withdrawal benefits
(GMWBs) with continuous withdrawals under a realistic modeling setting with jump …

We study a zero-sum stochastic differential game (SDG) in which one controller plays an
impulse control while their opponent plays a stochastic control. We consider an asymmetric …

In [P. Azimzadeh and PA Forsyth, SIAM J. Numer. Anal., 54 (2016), pp. 1341--1364], we
outlined the theory and implementation of computational methods for implicit schemes for …

In this paper we consider continuous time risk sensitive optimal stop** problem. Using the
probabilistic approach and dyadic discrete time approximations we prove continuity of the …

This paper considers the problem of two-player zero-sum stochastic differential game with
both players adopting impulse controls in finite horizon under rather weak assumptions on …

We consider the strategic interaction of traders in a continuous-time financial market with
Epstein-Zin-type recursive intertemporal preferences and performance concerns. We derive …

The goal of this thesis is to provide efficient and provably convergent numerical methods for
solving partial differential equations (PDEs) coming from impulse control problems …

We consider an optimal stochastic impulse control problem over an infinite time horizon
motivated by a model of irreversible investment choices with fixed adjustment costs. By …