A financial market with one bond and one stock is considered where the risk free interest rate, the appreciation rate of the stock and the volatility of the stock depend on an external finite stateâ€¦ (More)

We investigate the problem of minimizing a certainty equivalent of the total or discounted cost over a finite and an infinite horizon which is generated by a Markov Decision Process (MDP). Theâ€¦ (More)

In this paper we study controlled Piecewise Deterministic Markov Processes with finite time horizon and unbounded rewards. Using an embedding procedure we reduce these problems to discrete-timeâ€¦ (More)

We consider a stochastic single-server fluid network with both a discounted reward and a cost structure. It can be shown that the optimal policy is a priority index policy. The indices coincide withâ€¦ (More)

We consider a financial market with one bond and one stock. The dynamics of the stock price process allow jumps which occur according to a Markov-modulated Poisson process. We assume that there is anâ€¦ (More)

We consider optimal control problems for systems described by stochastic differential equations with delay. We state conditions for certain classes of such systems under which the stochastic controlâ€¦ (More)

We consider the problem of maximizing the expected utility of the terminal wealth of a portfolio in a continuous-time pure jump market with general utility function. This leads to an optimal controlâ€¦ (More)

We study portfolio optimization problems in which the drift rate of the stock is Markov modulated and the driving factors cannot be observed by the investor. Using results from filter theory, weâ€¦ (More)

We study portfolio optimization problems where the drift rate of the stock is Markov-modulated and the driving factors cannot be observed by the investor. Using results from filter theory we reduceâ€¦ (More)