Cash Management and Control Band Policies for Spectrally One-sided Levy Processes
Optimization and Control
2015-09-16 v4 Probability
Abstract
We study the control band policy arising in the context of cash balance management. A policy is specified by four parameters (d,D,U,u). The controller pushes the process up to D as soon as it goes below d and pushes down to U as soon as it goes above u, while he does not intervene whenever it is within the set (d, u). We focus on the case when the underlying process is a spectrally one-sided Levy process and obtain the expected fixed and proportional controlling costs as well as the holding costs under the band policy.
Keywords
Cite
@article{arxiv.1410.7490,
title = {Cash Management and Control Band Policies for Spectrally One-sided Levy Processes},
author = {Kazutoshi Yamazaki},
journal= {arXiv preprint arXiv:1410.7490},
year = {2015}
}