On Singular Control for Lévy Processes
On Singular Control for Lévy Processes
About this item
Full title
On Singular Control for Lévy Processes
Author / Creator
Publisher
Linthicum: INFORMS
Journal title
Mathematics of operations research, 2023-08, Vol.48 (3), p.1213-1234
Language
English
Formats
Publication information
Publisher
Linthicum: INFORMS
Subjects
More information
Scope and Contents
Contents
We revisit the classical singular control problem of minimizing running and controlling costs. Existing studies have shown the optimality of a barrier strategy when driven by Brownian motion or Lévy processes with one-sided jumps. Under the assumption that the running cost function is convex, we show the optimality of a barrier strategy for a gener...
Alternative Titles
Full title
On Singular Control for Lévy Processes
Authors, Artists and Contributors
Author / Creator
Identifiers
Primary Identifiers
Record Identifier
TN_cdi_proquest_journals_2854606355
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2854606355
Other Identifiers
ISSN
0364-765X
E-ISSN
1526-5471
DOI
10.1287/moor.2022.1298
How to access this item
Log in as a Library member
