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The optimal singular stochastic control model plays an important role in making decisions for managers. Traditional model only considers the cost pushing towards the target with the same expense ratio, which differs from the reality. This paper proposes a new form of the expected system costs on discounted problems about a firm that wants to keep a target state, in which different expense ratios are...
We consider a class of optimal consumption and portfolio problem that a corporation faces in which it must pay some debt liability continuously at a given rate due to a previous debt financing, such as bond liability or loan amortization. We model the dynamics of the corporate assets as a diffusion process with controlled drift. In this problem, what the corporation mostly concerns about is how to...
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