Optimality of impulse control problem in refracted Lévy model with Parisian ruin and transaction costs
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Publication:2188956
DOI10.1007/s10957-020-01682-1zbMath1446.60035arXiv1907.04162OpenAlexW3029699337MaRDI QIDQ2188956
Irmina Czarna, Adam Kaszubowski
Publication date: 15 June 2020
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1907.04162
Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)
Related Items (2)
A refracted Lévy process with delayed dividend pullbacks ⋮ Optimal cash management using impulse control
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