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On Singular Control for Lévy Processes

Author

Listed:
  • 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)

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.

Suggested Citation

  • Kei Noba & Kazutoshi Yamazaki, 2023. "On Singular Control for Lévy Processes," Mathematics of Operations Research, INFORMS, vol. 48(3), pages 1213-1234, August.
    • Handle: RePEc:inm:ormoor:v:48:y:2023:i:3:p:1213-1234
    DOI: 10.1287/moor.2022.1298
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