Thomas Emmerling

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Regularity of the impulse control problem for a nondegenerate n-dimensional jump diffusion with infinite activity and finite variation jumps was recently examined in [M. H. A. Davis, X. Guo, and G. Wu, SIAM J. Control Optim., 48 (2010), pp. 5276–5293]. Here we extend the analysis to include infinite activity and infinite variation jumps. More specifically,(More)
We consider the problem of a seller who faces an unknown number of offers where each offer is a random draw from a known distribution. The objective of the seller is to maximize the probability that the highest offer is chosen. This is equivalent to maximizing expected utility when one assigns preferences to rankings of offers. We identify the optimal(More)
The 2007-2009 financial crisis and recession highlighted the role of counterparty risk in financial contracts, many once thought immune to such problems. However, counterparty risk can be significant in a wide variety of contracting situations and can impact capital structure decisions. Using commercial real estate leases as an example, this paper presents(More)
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