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

DOI10.1016/J.SPA.2018.09.002zbMATH Open1481.93146OpenAlexW2891907863MaRDI QIDQ2274296FDOQ2274296

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

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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)

Cites Work

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• Une classe nouvelle de problèmes singuliers de contrôle stochastique
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• Towards a self-consistent theory of volatility
• Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values
• Hamilton-Jacobi-Bellman Equations Associated to Symmetric Stable Processes

Cited In (2)

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

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