Related papers: On singular control for L\'evy processes

We consider an optimal control problem for a non-autonomous model of ODEs that describes the evolution of the number of customers in some firm. Namely we study the best marketing strategy. Considering a $L^2$ cost functional, we establish…

Motivated by applications in natural resource management, risk management, and finance, this paper is focused on an ergodic two-sided singular control problem for a general one-dimensional diffusion process. The control is given by a…

In this paper we present a very simple way to price a class of barrier options when the underlying process is driven by a huge class of L\'evy processes. To achieve our goal we assume that our market satisfies a symmetry property. In case…

In this paper, we revisit the optimal periodic dividend problem, in which dividend payments can only be made at the jump times of an independent Poisson process. In the dual (spectrally positive L\'evy) model, recent results have shown the…

An optimal control problem with an infinite horizon quadratic cost functional for a linear system with a known additive disturbance is considered. The feature of this problem is that a weight matrix of the control cost in the cost…

Last passage times arise in a number of areas of applied probability, including risk theory and degradation models. Such times are obviously not stopping times since they depend on the whole path of the underlying process. We consider the…

Relying on the careful study of a related problem in the calculus of variations, we study a class of optimal control problems in which the control lies on the acceleration, with state constraints on the position variable. In dimension one,…

In this paper, we study a version of the perpetual American call/put option where exercise opportunities arrive only periodically. Focusing on the exponential L\'evy models with i.i.d. exponentially-distributed exercise intervals, we show…

We consider the classical optimal dividend control problem which was proposed by de Finetti [Trans. XVth Internat. Congress Actuaries 2 (1957) 433--443]. Recently Avram, Palmowski and Pistorius [Ann. Appl. Probab. 17 (2007) 156--180]…

We study a constrained stochastic control problem with jumps; the jump times of the controlled process are given by a Poisson process. The cost functional comprises quadratic components for an absolutely continuous control and the…

Inventory and queueing systems are often designed by controlling weighted combination of some time-averaged performance metrics (like cumulative holding, shortage, server-utilization or congestion costs); but real-world constraints, like…

Motivated by a capacity allocation problem within a finite planning period, we conduct a transient analysis of a single-server queue with L\'evy input. From a cost minimization perspective, we investigate the error induced by using…

We investigate symmetry reduction of optimal control problems for left-invariant control systems on Lie groups, with partial symmetry breaking cost functions. Our approach emphasizes the role of variational principles and considers a…

We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…

Given a spectrally negative L\'evy process and independent Poisson observation times, we consider a periodic barrier strategy that pushes the process down to a certain level whenever it is above it. We also consider the versions with…

In this paper, we consider an infinite horizon, continuous-review, stochastic inventory system in which cumulative customers' demand is price-dependent and is modeled as a Brownian motion. Excess demand is backlogged. The revenue is earned…

We consider a class of optimal control problems, with finite or infinite horizon, for a continuous-time Markov chain with finite state space. In this case, the control process affects the transition rates. We suppose that the controlled…

In the literature on optimal stopping, the problem of maximizing the expected discounted reward over all stopping times has been explicitly solved for some special reward functions (including $(x^+)^{\nu}$, $(e^x-K)^+$, $(K-e^{-x})^+$,…

A system manager dynamically controls a diffusion process Z that lives in a finite interval [0,b]. Control takes the form of a negative drift rate \theta that is chosen from a fixed set A of available values. The controlled process evolves…

We consider a singular control model of cash reserve management, driven by a diffusion under ambiguity. The manager is assumed to have maxmin preferences over a set of priors characterized by $\kappa$-ignorance. A verification theorem is…