Refraction strategies in stochastic control: optimality for a general L\'evy process model

arXiv2308.08183MaRDI QIDQ6447544FDOQ6447544

Authors: K. Noba, José Luis Pérez Garmendia, Kazutoshi Yamazaki 

Publication date: 16 August 2023

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Inventory, storage, reservoirs (90B05) Optimal stochastic control (93E20)

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