Optimality of doubly reflected Lévy processes in singular control

DOI10.1016/j.spa.2015.01.011zbMath1329.49039arXiv1408.0847MaRDI QIDQ2348300

Erik J. Baurdoux, Kazutoshi Yamazaki

Publication date: 11 June 2015

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

Full work available at URL: https://arxiv.org/abs/1408.0847

zbMATH Keywords

optimality; fluctuation theory; singular control; scale functions; doubly reflected Lévy processes

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

93E20: Optimal stochastic control

49K45: Optimality conditions for problems involving randomness

Related Items

Optimality of Two-Parameter Strategies in Stochastic Control, On a doubly reflected risk process with running maximum dependent reflecting barriers, Optimality of Refraction Strategies for Spectrally Negative Lévy Processes, Inventory Control for Spectrally Positive Lévy Demand Processes

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