Optimality of Refraction Strategies for Spectrally Negative Lévy Processes
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Publication:2807401
DOI10.1137/15M1051208zbMath1343.49031arXiv1504.03496OpenAlexW2963610185MaRDI QIDQ2807401
Daniel Hernández-Hernández, Unnamed Author, José Luis Pérez Garmendia
Publication date: 20 May 2016
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1504.03496
Processes with independent increments; Lévy processes (60G51) Numerical optimization and variational techniques (65K10) Variational inequalities (49J40) Optimal stochastic control (93E20) Existence of optimal solutions to problems involving randomness (49J55)
Related Items (13)
MFGs for partially reversible investment ⋮ On weighted occupation times for refracted spectrally negative Lévy processes ⋮ REFRACTION–REFLECTION STRATEGIES IN THE DUAL MODEL ⋮ On the optimality of periodic barrier strategies for a spectrally positive Lévy process ⋮ On the optimality of the refraction-reflection strategies for Lévy processes ⋮ On the Bailout Dividend Problem for Spectrally Negative Markov Additive Models ⋮ Approximation of \(N\)-player stochastic games with singular controls by mean field games ⋮ Optimality of Two-Parameter Strategies in Stochastic Control ⋮ Inventory Control for Spectrally Positive Lévy Demand Processes ⋮ Optimal Periodic Replenishment Policies for Spectrally Positive Lévy Demand Processes ⋮ On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models ⋮ Optimality of hybrid continuous and periodic barrier strategies in the dual model ⋮ On occupation times in the red of Lévy risk models
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