论文标题
关于莱维过程的单数控制
On singular control for Lévy processes
论文作者
论文摘要
我们重新审视了最小化运行和控制成本的经典奇异控制问题。问题出现在库存控制以及医疗保健管理和数学金融中。现有的研究表明，当由布朗运动或一侧跳跃的莱维过程驱动时，屏障策略的最佳性。在假设运行成本函数是凸的假设下，我们展示了一般莱维过程的障碍策略的最佳性。
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 of a barrier strategy when driven by the Brownian motion or Lévy processes with one-side 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.
