2 papers
math.OC2021
On an Ergodic Two-Sided Singular Control Problem
Khwanchai Kunwai, Fubao Xi, George Yin +1
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-dim…
math.PR2020
On Feller and Strong Feller Properties and Irreducibility of Regime-Switching Jump Diffusion Processes with Countable Regimes
Khwanchai Kunwai, Chao Zhu
This work focuses on a class of regime-switching jump diffusion processes with a countably infinite state space for the discrete component. Such processes can be used to model comp…