An optimal multibarrier strategy for a singular stochastic control problem with a state-dependent reward

DOI10.1007/S00245-024-10176-9MaRDI QIDQ6622693zbMATH OpenFDO

Authors Mauricio Junca, Harold A. Moreno-Franco, José Luis Pérez Garmendia

Publication date 22 October 2024

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S00245-024-10176-9

multibarrier strategies singular control state-dependent instantaneous reward

Variational principles of physics (49S05) Processes with independent increments; Lévy processes (60G51) Brownian motion (60J65)

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Cites work

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scientific article; zbMATH DE number 1817636 (Why is no real title available?)
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Optimal control with absolutely continuous strategies for spectrally negative Lévy processes
Optimal dividend bands revisited: a gradient-based method and evolutionary algorithms
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Optimal harvesting from a population in a stochastic crowded environment
Optimal harvesting under stochastic fluctuations and critical depensation
OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
Singular stochastic control in the presence of a state-dependent yield structure
The theory of scale functions for spectrally negative Lévy processes

Cited in

(1)

On Singular Control for Lévy Processes

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