On Singular Control for Lévy Processes-Reference-Cited by-同舟云学术

On Singular Control for Lévy Processes

Published:2022-09-19 Issue: Volume: Page:
ISSN:0364-765X
Container-title:Mathematics of Operations Research
language:en
Short-container-title:Mathematics of OR

Author:

Noba Kei¹^ORCID,Yamazaki Kazutoshi²^ORCID

Affiliation:

1. School of Statistical Thinking, Institute of Statistical Mathematics, Tokyo 190-8562, Japan;

2. School of Mathematics and Physics, University of Queensland, Brisbane, Queensland 4072, Australia

Abstract

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 Lévy 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 Lévy processes.

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Subject

Management Science and Operations Research,Computer Science Applications,General Mathematics

Link

http://pubsonline.informs.org/doi/pdf/10.1287/moor.2022.1298

Reference34 articles.

1. Russian and American put options under exponential phase-type Lévy models

2. Optimal dividends in the dual model

3. On the optimal dividend problem for a spectrally negative Lévy process

4. Optimality of doubly reflected Lévy processes in singular control

5. Optimizing venture capital investments in a jump diffusion model

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