1 citations · 2 across the 2 of their papers we have counts for
2 papers
math.PR2023★ 1 cited
Refraction strategies in stochastic control: optimality for a general Lévy process model
Kei Noba, José Luis Pérez, Kazutoshi Yamazaki
We revisit an absolutely-continuous version of the stochastic control problem driven by a Lévy process. A strategy must be absolutely continuous with respect to the Lebesgue measur…
math.OC2023★ 1 cited
An optimal multibarrier strategy for a singular stochastic control problem with a state-dependent reward
Mauricio Junca, Harold Moreno-Franco, Jose Luis Perez
We consider a singular control problem that aims to maximize the expected cumulative rewards, where the instantaneous returns depend on the state of a controlled process. The contr…