A solvable singular control problem driven by a jump diffusion process with applications

DOI10.1080/15326349.2015.1090881MaRDI QIDQ2803407zbMATH OpenOpenAlexFDO

Authors Chen Pan, Shuguang Zhang

Publication date 4 May 2016

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349.2015.1090881

zbMATH Keywords

inventory controloptimal switchingjump-diffusionssingular control

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions to problems involving randomness (49J55) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Inventory, storage, reservoirs (90B05) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• A Model for Reversible Investment Capacity Expansion
• A jump-diffusion model for option pricing
• Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems
• Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
• Connections between Singular Control and Optimal Switching
• Explicit Solution to an Optimal Switching Problem in the Two‐Regime Case
• Impulse control of multidimensional jump diffusions
• Impulse control of multidimensional jump diffusions in finite time horizon
• Optimal spot market inventory strategies in the presence of cost and price risk
• Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
• Some solvable stochastic control problemst^†
• Systems of variational inequalities for non-local operators related to optimal switching problems: existence and uniqueness
• User’s guide to viscosity solutions of second order partial differential equations

Cited in

(2)

• On solvability of a two-sided singular control problem
• Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment

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