Luis Alvarez Esteban
PhD (Economics) 1994, PhD (Applied Mathematics) 1997
lhralv@utu.fi +358 29 450 2119 +358 40 074 7961 Rehtorinpellonkatu 3 Turku ORCID identifier: https://orcid.org/https://orcid.org/0000-0003-1342-1691 |
Areas of expertise
Stochastic control theory, optimal stopping, impulse control, singular control, diffusion processes, real options, mathematical finance
Stochastic control theory, optimal stopping, impulse control, singular control, diffusion processes, real options, mathematical finance
Biography
I have
been a Professor of Quantitative Methods in Management (focusing mainly on mathematical finance and mathematical economics) at the Turku School of
Economics (University of Turku) since 2001. My educational and professional background is as follows: I originally studied economics and applied
mathematics at University of Turku (UTU) for 1987-1988. For 1989-1994 I
worked at the Department of Economics and obtained my first PhD in Economics in
1994. After that I moved to the Department of Mathematics and worked there for
1995-2000. During that period I completed my second PhD in Applied Mathematics
in 1997.
Research
Stochastic control theory and its applications, optimal stopping and its applications, diffusion processes, real options, stopping games, optimal rotation problems, Faustmann's formula
Stochastic control theory and its applications, optimal stopping and its applications, diffusion processes, real options, stopping games, optimal rotation problems, Faustmann's formula
Teaching
Mathematical finance, Interest rate derivatives and valuation, Quantitative methods in finance
Mathematical finance, Interest rate derivatives and valuation, Quantitative methods in finance
Publications 
1 of 3
- Solutions for Poissonian Stopping Problems of Linear Diffusions via Extremal Processes (2024)
- Stochastic Processes and their Applications
(A1 Refereed original research article in a scientific journal) - (2023)
- Mathematical Methods of Operations ResearchMathematical Methods of Operations Research
(A1 Refereed original research article in a scientific journal) - Optimal sustainable harvesting of populations in random environments (2022)
- Stochastic Processes and their Applications
(A1 Refereed original research article in a scientific journal) - A Class of Solvable Multidimensional Stopping Problems in the Presence of Knightian Uncertainty (2021)
- Advances in Applied ProbabilityStochastics
(A1 Refereed original research article in a scientific journal) - Expected Supremum Representation of the Value of a Singular Stochastic Control Problem (2017)
- SIAM Journal on Control and Optimization
(A1 Refereed original research article in a scientific journal) - Timing in the presence of directional predictability: Optimal stopping of skew Brownian motion (2017)
- Mathematical Methods of Operations Research
(A1 Refereed original research article in a scientific journal) - (2016)
- Afrika MatematicaApplied Mathematics and Optimization
(A1 Refereed original research article in a scientific journal) - A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump DiffusionsOn the Optimal Stochastic Impulse Control of Linear Diffusions (2014)
- SIAM Journal on Control and OptimizationSIAM Journal on Control and Optimization
(A1 Refereed original research article in a scientific journal) - (2014)
- Journal of Applied ProbabilityJournal of Public Economic Theory
(A1 Refereed original research article in a scientific journal) - Optimal Capital Accumulation under Price Uncertainty and Costly Reversibility (2011)
- Journal of Economic Dynamics and ControlFinanzArchiv / Public Finance Analysis
(A1 Refereed original research article in a scientific journal) - Investment Timing in Presence of Downside Risk: A Certainty Equivalent CharacterizationOptimal Harvesting under Resource Stock and Price Uncertainty (2010)
- Annals of FinanceJournal of Economic Dynamics and Control
(A1 Refereed original research article in a scientific journal) - Irreversible Capital Accumulation under Interest Rate Uncertainty (2010)
(A1 Refereed original research article in a scientific journal) - Minimum Guaranteed Payments and Costly Cancellation Rights: A Stopping Game Perspective (2010)
- Mathematical Finance
(A1 Refereed original research article in a scientific journal) - On Singular Stochastic Control and Optimal Stopping of Spectrally Negative Jump Diffusions (2009)
(A1 Refereed original research article in a scientific journal) - Optimal payout policy in presence of downside risk (2009)
- Mathematical Methods of Operations Research
(A1 Refereed original research article in a scientific journal) - A Class of Solvable Stopping Games (2008)
(A1 Refereed original research article in a scientific journal) - (2008)
(A1 Refereed original research article in a scientific journal) - Progressive Taxation, Tax Exemption, and Irreversible Investment under Uncertainty (2008)
(A1 Refereed original research article in a scientific journal) - Irreversible Capital Accumulation and Non-Linear Tax Policy: A Note (2007)
(A1 Refereed original research article in a scientific journal) - (2007)
(A1 Refereed original research article in a scientific journal)
UTU Research Portal