On a class of singular stochastic control problems driven by Lévy noise

DOI10.1016/J.SPA.2018.09.002MaRDI QIDQ2274296zbMATHOpenAlexFDO

Authors Wei Wu, B. Goldys

Publication date 19 September 2019

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2018.09.002

zbMATH Keywords

invariancesingular stochastic control problemsoptimal trade executionsLévy noise

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Cites work

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Cited in

(3)

• On stochastic control for time changed Lévy dynamics
• Stochastic control based on time-change transformations for stochastic processes with Lévy noise
• On Singular Control for Lévy Processes

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