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.

引用

页码：1213 / 1234

页数：22

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