On Singular Control for Lévy Processes

Kei Noba () and Kazutoshi Yamazaki ()
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Kei Noba: School of Statistical Thinking, Institute of Statistical Mathematics, Tokyo 190-8562, Japan
Kazutoshi Yamazaki: School of Mathematics and Physics, University of Queensland, Brisbane, Queensland 4072, Australia

Mathematics of Operations Research, 2023, vol. 48, issue 3, 1213-1234

Abstract: 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 general class of Lévy processes.

Keywords: Primary: 60G51; secondary: 93E20; 90B05; stochastic control; mathematical finance; Lévy processes (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormoor:v:48:y:2023:i:3:p:1213-1234

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