Luis Alvarez Esteban
PhD (Economics) 1994, PhD (Applied Mathematics) 1997
lhralv@utu.fi +358 29 450 2119 +358 40 074 7961 Rehtorinpellonkatu 3 Turku : https://orcid.org/https://orcid.org/0000-0003-1342-1691(external) |
Stochastic control theory, optimal stopping, impulse control, singular control, diffusion processes, real options, mathematical finance
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.
Stochastic control theory and its applications, optimal stopping and its applications, diffusion processes, real options, stopping games, optimal rotation problems, Faustmann's formula
Mathematical finance, Interest rate derivatives and valuation, Quantitative methods in finance
- Solutions for Poissonian Stopping Problems of Linear Diffusions via Extremal Processes (2024)
- Stochastic Processes and their ApplicationsAnnals of Finance
- Optimal stopping and impulse control in the presence of an anticipated regime switch (2023)
- Mathematical Methods of Operations ResearchStochastic Processes and their ApplicationsMathematical Finance
- Optimal sustainable harvesting of populations in random environments2022
- A Class of Solvable Multidimensional Stopping Problems in the Presence of Knightian Uncertainty (2021)
- Advances in Applied ProbabilityStochastics
- Expected Supremum Representation of the Value of a Singular Stochastic Control Problem (2017)
- SIAM Journal on Control and Optimization
- Timing in the presence of directional predictability: Optimal stopping of skew Brownian motion (2017)
- Mathematical Methods of Operations Research
- Optimal multi-dimensional stochastic harvesting with density-dependent pricesOn the Optimal Stochastic Impulse Control of Linear Diffusions (2016)
- Afrika MatematicaSIAM Journal on Control and Optimization
- A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions (2014)
- SIAM Journal on Control and Optimization
- (2014)
- Journal of Applied ProbabilityFinanzArchiv / Public Finance Analysis
- Optimal Capital Accumulation under Price Uncertainty and Costly Reversibility (2011)
- Journal of Economic Dynamics and Control
- Investment Timing in Presence of Downside Risk: A Certainty Equivalent Characterization (2010)
- Irreversible Capital Accumulation under Interest Rate Uncertainty (2010)
- Mathematical Methods of Operations Research
- Minimum Guaranteed Payments and Costly Cancellation Rights: A Stopping Game Perspective (2010)
- On Singular Stochastic Control and Optimal Stopping of Spectrally Negative Jump Diffusions (2009)
- Optimal payout policy in presence of downside risk (2009)
- Mathematical Methods of Operations Research
- A Class of Solvable Stopping Games (2008)
- Applied Mathematics and Optimization
- (2008)
- Progressive Taxation, Tax Exemption, and Irreversible Investment under Uncertainty (2008)
- Journal of Public Economic Theory
- Irreversible Capital Accumulation and Non-Linear Tax Policy: A Note (2007)
- Optimal Harvesting under Resource Stock and Price Uncertainty (2007)
- Journal of Economic Dynamics and Control