RESEARCH

PUBLICATIONS

(2023) Climbing the income ladder: Search and investment in a regime-switching affine income model. Finance Research Letters, Volume 58 Part A.
(2021) Optimal Control of Investment, Premium, and Deductible for a Non-Life Insurer, with Bent Jesper Christensen and Juan Carlos Parra-Alvarez. Insurance: Mathematics and Economics 101, 384–405.
(2021) Portfolio Allocation in a Levy-Type Jump-Diffusion Model with Nonlife Insurance Risk. International Journal of Theoretical and Applied Finance, vol. 24, no 01, p. 2150005.
(2021) Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics, with Mauricio Junca. Mathematics and Financial Economics, 15 pages 775–809.
(2015) On the LP formulation in measure spaces of optimal control problems for jump-diffusions, Systems & Control Letters 85, 33-36.
(2015) A note on space–time Hölder regularity of mild solutions to stochastic Cauchy problems in Lp-spaces, Brazilian Journal of Probability and Statistics 29 (4), 767-777.
(2015) Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models, with Oscar López. Stochastic Models 31 (2), 261-291
(2013) An alternative proof of the Aubin–Lions lemma, Archiv der Mathematik 101 (3), 253-257.
(2013) Optimal relaxed control of dissipative stochastic partial differential equations in Banach spaces, with Z. Brzezniak. SIAM Journal on Control and Optimization 51 (3), 2664-2703

Existence of optimal controls for stochastic Volterra equations, with Andrés Cárdenas (PhD Student, URosario) and Sergio Pulido (ENSIIE, France) [arXiv ]
Asset-Liability management for insurers with multiple underwriting lines and portfolio constraints: A Lagrangian duality approach, with Camilo Castillo (PhD Student, URosario) [arXiv]
Optimal investment with insurable background risk and nonlinear portfolio allocation frictions, with Hugo Ramírez (URosario) [arXiv]
Search and wealth distribution in a frictional labor market, with Marcen Laguna (URosario) [SSRN]

Stochastic differential games for non-cooperative competition in insurance markets, with B.J. Christensen (Aarhus, Denmark) and Juan Carlos Parra-Alvarez (Aarhus, Denmark) [Slides]
Optimal input allocation in jump-diffusion neo-classical multi-factor productivity model, with Camilo Castillo (PhD student, URosario)
Insurance premium control with multiple underwriting lines.
Exponential utility maximization in a stochastic continuous-time R&D innovation model
Pure-jump financial models with regime-switching marked point processes, with Andrés Cárdenas (PhD student, URosario)
Wealth distribution in a jump-diffusion income model, with Juan Carlos Zambrano (UniValle) and Marcen Laguna (URosario)