On Singular Control for Levy Processes

• 成果类型: Article
• 署名作者: Noba, Kei; Yamazaki, Kazutoshi
• 署名单位: Research Organization of Information & Systems (ROIS); Institute of Statistical Mathematics (ISM) - Japan; University of Queensland
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.2022.1298
• 发表日期: 2023
• 页码: 1213-1234
• 关键词: stochastic-control; diffusion demands; optimal dividends; compound poisson; smooth fit; optimality; connections; strategies; POLICY

摘要

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 Levy 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 general class of Levy processes.