On Singular Control for Lévy Processes

DOI10.1287/MOOR.2022.1298arXiv2008.03021OpenAlexW4296371656MaRDI QIDQ6121625

Kei Noba, Kazutoshi Yamazaki

Publication date: 27 February 2024

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.03021

zbMATH Keywords

Lévy processesstochastic controlmathematical finance

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Inventory, storage, reservoirs (90B05) Optimal stochastic control (93E20)

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