On Singular Control for Levy Processes

被引：4
|
作者：
Noba, Kei [1 ]
Yamazaki, Kazutoshi [2 ]
机构：
[1] Inst Stat Math, Sch Stat Thinking, Tokyo 1908562, Japan
[2] Univ Queensland, Sch Math & Phys, Brisbane, Qld 4072, Australia
来源：
MATHEMATICS OF OPERATIONS RESEARCH | 2023年 / 48卷 / 03期
基金：
日本学术振兴会;
关键词：
stochastic control; mathematical finance; Levy processes; STOCHASTIC-CONTROL; DIFFUSION DEMANDS; OPTIMAL DIVIDENDS; COMPOUND POISSON; SMOOTH FIT; OPTIMALITY; CONNECTIONS; STRATEGIES; POLICY;
D O I：
10.1287/moor.2022.1298
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
We revisit the classical singular control problem of minimizing running and controlling costs. Existing studies have shown the optimality of a barrier strategy when driven by Brownian motion or Levy processes with one-sided jumps. Under the assumption that the running cost function is convex, we show the optimality of a barrier strategy for a general class of Levy processes.
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页码：1213 / 1234
页数：22
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