Harold A. Moreno-Franco
Current Organizations / Institutes
The organizations/institutes from the scholar's latest article
Previous Organizations / Institutes
The organizations / institutes from the scholar's other articles in the past ten years
Harold A. Moreno-Franco has a total of 15 co-authors. Here are the top co-authors by number of shared publications:
- José-Luis Pérez
Department of Probability and Statistics Centro de Investigación en Matemáticas A.C Calle Jalisco s/n. C. P. 36240 Guanajuato Mexico
10 shared publications - Mauricio Junca
Departamento de Matemáticas, Universidad de los Andes, Bogotá, Colombia
7 shared publications Mark Kelbert
6 shared publications- Daniel Hernández-Hernández
Department of Probability and Statistics Centro de Investigación en Matemáticas A.C Mexico
3 shared publications - Camilo Hernández
Industrial Engineering and Operations Research Department Columbia University 500 West 120-th street 10027 New York NY USA
2 shared publications - Kazutoshi Yamazaki
School of Mathematics and Physics The University of Queensland St Lucia 4072 Brisbane QLD Australia
2 shared publications
Latest Publications
- 17 June 2026
- Published by Springer Nature in Applied Mathematics & Optimization
- Vol. 94 (1) , 10
Optimal Extraction with an Impact on Diffusion-Jump Pricing
- 17 June 2026
- Published by Springer Nature in Applied Mathematics & Optimization
- Vol. 94 (1) , 10
Optimal Extraction with an Impact on Diffusion-Jump Pricing
- Open Access
- 10 March 2026
- Published by Elsevier in SSRN Electronic Journal
Optimal Liquidation in a Defaultable Market
In this paper we address the problem of optimal liquidation of a large portfolio composed by securities exposed to default risk. The default time is described in terms of a Brownian motion representing the evolution of the value of the firm, whose assets are available in the market for investors. Considering that selling a large number of assets has a significant impact in the price, and hence in the portfolio's value, the control problem involved to describe the optimal strategy to liquidate a large position is analyzed. Under suitable assumptions in the model, an explicit solution is given to the value function and a precise description of the optimal strategy is obtained.
- 10 March 2026
- Published by Elsevier in SSRN Electronic Journal
Open AccessOptimal Liquidation in a Defaultable Market
In this paper we address the problem of optimal liquidation of a large portfolio composed by securities exposed to default risk. The default time is described in terms of a Brownian motion representing the evolution of the value of the firm, whose assets are available in the market for investors. Considering that selling a large number of assets has a significant impact in the price, and hence in the portfolio's value, the control problem involved to describe the optimal strategy to liquidate a large position is analyzed. Under suitable assumptions in the model, an explicit solution is given to the value function and a precise description of the optimal strategy is obtained.
- Open Access
Optimal Liquidation in a Defaultable Market
In this paper we address the problem of optimal liquidation of a large portfolio composed by securities exposed to default risk. The default time is described in terms of a Brownian motion representing the evolution of the value of the firm, whose assets are available in the market for investors. Considering that selling a large number of assets has a significant impact in the price, and hence in the portfolio's value, the control problem involved to describe the optimal strategy to liquidate a large position is analyzed. Under suitable assumptions in the model, an explicit solution is given to the value function and a precise description of the optimal strategy is obtained.
Open AccessOptimal Liquidation in a Defaultable Market
In this paper we address the problem of optimal liquidation of a large portfolio composed by securities exposed to default risk. The default time is described in terms of a Brownian motion representing the evolution of the value of the firm, whose assets are available in the market for investors. Considering that selling a large number of assets has a significant impact in the price, and hence in the portfolio's value, the control problem involved to describe the optimal strategy to liquidate a large position is analyzed. Under suitable assumptions in the model, an explicit solution is given to the value function and a precise description of the optimal strategy is obtained.
- 20 November 2025
- Published by Elsevier in Insurance: Mathematics and Economics
- Vol. 126
On the bailout dividend problem with periodic dividend payments and fixed transaction costs
- 20 November 2025
- Published by Elsevier in Insurance: Mathematics and Economics
- Vol. 126
On the bailout dividend problem with periodic dividend payments and fixed transaction costs
- 2 September 2025
- Published by Elsevier in Insurance: Mathematics and Economics
- Vol. 125
An optimal periodic dividend and risk control problem for an insurance company
- 2 September 2025
- Published by Elsevier in Insurance: Mathematics and Economics
- Vol. 125
An optimal periodic dividend and risk control problem for an insurance company
- Open Access
- 12 September 2024
- Published by Springer Nature in Applied Mathematics & Optimization
- Vol. 90 (2) , 1-36
An Optimal Multibarrier Strategy for a Singular Stochastic Control Problem with a State-Dependent Reward
We consider a singular control problem that aims to maximize the expected cumulative rewards, where the instantaneous returns depend on the state of a controlled process. The contributions of this paper are twofold. Firstly, to establish sufficient conditions for determining the optimality of the one-barrier strategy when the uncontrolled process X follows a spectrally negative Lévy process with a Lévy measure defined by a completely monotone density. Secondly, to verify the optimality of the $$(2n+1)$$ -barrier strategy when X is a Brownian motion with a drift. Additionally, we provide an algorithm to compute the barrier values in the latter case.- 12 September 2024
- Published by Springer Nature in Applied Mathematics & Optimization
- Vol. 90 (2) , 1-36
Open AccessAn Optimal Multibarrier Strategy for a Singular Stochastic Control Problem with a State-Dependent Reward
We consider a singular control problem that aims to maximize the expected cumulative rewards, where the instantaneous returns depend on the state of a controlled process. The contributions of this paper are twofold. Firstly, to establish sufficient conditions for determining the optimality of the one-barrier strategy when the uncontrolled process X follows a spectrally negative Lévy process with a Lévy measure defined by a completely monotone density. Secondly, to verify the optimality of the $$(2n+1)$$ -barrier strategy when X is a Brownian motion with a drift. Additionally, we provide an algorithm to compute the barrier values in the latter case. - Open Access
On the Bailout Dividend Problem with Periodic Dividend Payments and Fixed Transaction Costs
We study the optimal bailout dividend problem with transaction costs for an insurance company, where shareholder payouts align with the arrival times of an independent Poisson process. In this scenario, the underlying risk model follows a spectrally negative Lévy process. Our analysis confirms the optimality of a periodic $(b_{1},b_{2})$-barrier policy with classical reflection at zero. This strategy involves reducing the surplus to $b_1$ when it exceeds $b_{2}$ at the Poisson arrival times and pushes the surplus to 0 whenever it goes below zero.Open AccessOn the Bailout Dividend Problem with Periodic Dividend Payments and Fixed Transaction Costs
We study the optimal bailout dividend problem with transaction costs for an insurance company, where shareholder payouts align with the arrival times of an independent Poisson process. In this scenario, the underlying risk model follows a spectrally negative Lévy process. Our analysis confirms the optimality of a periodic $(b_{1},b_{2})$-barrier policy with classical reflection at zero. This strategy involves reducing the surplus to $b_1$ when it exceeds $b_{2}$ at the Poisson arrival times and pushes the surplus to 0 whenever it goes below zero. - 20 October 2023
- Published by Elsevier in Nonlinear Analysis: Hybrid Systems
- Vol. 51
A mixed singular/switching control problem with terminal cost for modulated diffusion processes
- 20 October 2023
- Published by Elsevier in Nonlinear Analysis: Hybrid Systems
- Vol. 51
A mixed singular/switching control problem with terminal cost for modulated diffusion processes
- 19 January 2023
- Published by Elsevier in Nonlinear Analysis: Hybrid Systems
- Vol. 48
On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes
- 19 January 2023
- Published by Elsevier in Nonlinear Analysis: Hybrid Systems
- Vol. 48
On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes
- Open Access
A mixed singular/switching control problem with terminal cost for modulated diffusion processes
In this paper, we study the regularity of the value function associated with a stochastic control problem where two controls act simultaneously on a modulated multidimensional diffusion process. The first is a switching control modelling a random clock. Every time the random clock rings, the generator matrix is replaced by another, resulting in a different dynamic for the finite state Markov chain of the modulated diffusion process. The second is a singular stochastic control that is executed on the process within each regime.
Open AccessA mixed singular/switching control problem with terminal cost for modulated diffusion processes
In this paper, we study the regularity of the value function associated with a stochastic control problem where two controls act simultaneously on a modulated multidimensional diffusion process. The first is a switching control modelling a random clock. Every time the random clock rings, the generator matrix is replaced by another, resulting in a different dynamic for the finite state Markov chain of the modulated diffusion process. The second is a singular stochastic control that is executed on the process within each regime.