相关论文: Optimality of Refraction Strategies for Spectrally…

We revisit an absolutely-continuous version of the stochastic control problem driven by a L\'evy process. A strategy must be absolutely continuous with respect to the Lebesgue measure and the running cost function is assumed to be convex.…

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…

In the last few years there has been renewed interest in the classical control problem of de Finetti for the case that underlying source of randomness is a spectrally negative Levy process. In particular a significant step forward is made…

Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Levy process. We assume that dividends are paid to the shareholders according to admissible strategies whose…

In this paper, we study de Finetti's optimal dividend problem with capital injection under the assumption that the dividend strategies are absolutely continuous. In many previous studies, the process before being controlled was assumed to…

We consider the multi-refraction strategies in two equivalent versions of the optimal dividend problem in the dual (spectrally positive L\'evy) model. The first problem is a variant of the bail-out case where both dividend payments and…

This paper studies a class of optimal multiple stopping problems driven by L\'evy processes. Our model allows for a negative effective discount rate, which arises in a number of financial applications, including stock loans and real…

We consider de Finetti's optimal dividends problem with absolutely continuous strategies in a spectrally negative L\'evy model with Parisian ruin as the termination time. The problem considered is essentially a generalization of both the…

We consider an inventory system whose state is modeled by a L\'{e}vy process. There are two types of costs--the running costs and the inventory control costs. The running costs (also known as the holding/penalty costs) are incurred…

We consider de Finetti's problem for spectrally one-sided L\'evy risk models with control strategies that are absolutely continuous with respect to the Lebesgue measure. Furthermore, we consider the version with a constraint on the time of…

We study a stochastic control problem where the underlying process follows a spectrally negative L\'{e}vy process. A controller can continuously increase the process but only decrease it at independent Poisson arrival times. We show the…

A new approach to solve the continuous-time stochastic inventory problem using the fluctuation theory of Levy processes is developed. This approach involves the recent developments of the scale function that is capable of expressing many…

We study a discounted singular stochastic control problem driven by a general L\'evy process, where the objective is to minimize a cost functional composed of a running cost and a control cost that depends on the current state of the…

We study an optimal multiple stopping problem for call-type payoff driven by a spectrally negative Levy process. The stopping times are separated by constant refraction times, and the discount rate can be positive or negative. The…

In this note, we study a class of stochastic control problems where the optimal strategies are described by two parameters. These include a subset of singular control, impulse control, and two-player stochastic games. The parameters are…

We consider a version of the stochastic inventory control problem for a spectrally positive L\'evy demand process, in which the inventory can only be replenished at independent exponential times. We show the optimality of a periodic barrier…

Stochastic optimal control problems have a long tradition in applied probability, with the questions addressed being of high relevance in a multitude of fields. Even though theoretical solutions are well understood in many scenarios, their…

This paper studies the optimal multiple-stopping problem arising in the context of the timing option to withdraw from a project in stages. The profits are driven by a general spectrally negative Levy process. This allows the model to…

We revisit the classical singular control problem of minimizing running and controlling costs. The problem arises in inventory control, as well as in healthcare management and mathematical finance. Existing studies have shown the optimality…

We study a version of the stochastic control problem of minimizing the sum of running and controlling costs, where control opportunities are restricted to independent Poisson arrival times. Under a general setting driven by a general L\'evy…