Optimality of Two-Parameter Strategies in Stochastic Control

DOI10.1007/978-3-319-77643-9_2zbMath1524.93078arXiv1605.04995OpenAlexW2406550671MaRDI QIDQ6173303

Publication date: 21 July 2023

Published in: XII Symposium of Probability and Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.04995

zbMATH Keywords

optimal stopping zero-sum games impulse control singular control scale functions spectrally one-sided Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Variational inequalities (49J40) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Impulsive control/observation systems (93C27)

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