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• W2952161748 abstract "We consider a class of two-sided singular control problems. A controller either increases or decreases a given spectrally negative Levy process so as to minimize the total costs comprising of the running and control costs where the latter is proportional to the size of control. We provide a sufficient condition for the optimality of a double barrier strategy, and in particular show that it holds when the running cost function is convex. Using the fluctuation theory of doubly reflected Levy processes, we express concisely the optimal strategy as well as the value function using the scale function. Numerical examples are provided to confirm the analytical results." @default.
• W2952161748 created "2019-06-27" @default.
• W2952161748 creator A5006852482 @default.
• W2952161748 creator A5019992081 @default.
• W2952161748 date "2014-08-05" @default.
• W2952161748 modified "2023-09-27" @default.
• W2952161748 title "Optimality of doubly reflected Levy processes in singular control" @default.
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• W2952161748 hasPublicationYear "2014" @default.
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