Optimality of doubly reflected Lévy processes in singular control
From MaRDI portal
Publication:2348300
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
60G51: Processes with independent increments; Lévy processes
93E20: Optimal stochastic control
49K45: Optimality conditions for problems involving randomness
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