We examine the early exercise policies and pricing behaviors of one-asset American options with lookback payoff structures. The classes of option models considered include floating strike lookback options, Russian options, fixed strike lookback options and pricing model of dynamic protection fund. For each class of the American lookback options, we analyze the optimal stopping region, in partic...

Considering the large amount of work that goes into the design of LNG processes, there is surprisingly little attention to their subsequent operation. This partly comes from the assumption that optimal design and optimal operation are the same, but this is not generally true. In this paper we study the optimal operation of a relatively simple LNG process, namely the PRICO process.

Two control laws, to control the liquid pressure of an agricultural spray boom are presented and compared. Characteristic for the process is a dead zone and a time varying delay. The first control law is rather intuitive and is based on direct dead zone compensation and a pole placement idea. The other control law originates from sliding mode control where the continuous part of the control con...

The purpose of this note is to provide an existence result for the solution of fully coupled Forward Backward Stochastic Differential Equations (FBSDEs) of the mean field type. These equations occur in the study of mean field games and the optimal control of dynamics of the McKean Vlasov type.

In this paper the authors study a model for the optimal operation of a bank or insurance company which was recently introduced by Peura and Keppo. The model generalizes a previous one of Milne and Robertson by allowing the bank to raise capital as well as to pay out dividends. Optimal operation of the bank is determined by solving an optimal control problem. In this paper it is shown that the s...