44 citations · 231 across the 45 of their papers we have counts for
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math.OC2014
Cash Management and Control Band Policies for Spectrally One-sided Levy Processes
Kazutoshi Yamazaki
We study the control band policy arising in the context of cash balance management. A policy is specified by four parameters (d,D,U,u). The controller pushes the process up to D as…
math.OC2014
Optimal double stopping of a Brownian bridge
Erik J. Baurdoux, Nan Chen, Budhi A. Surya +1
We study optimal double stopping problems driven by a Brownian bridge. The objective is to maximize the expected spread between the payoffs achieved at the two stopping times. We s…
math.OC2014
Optimality of doubly reflected Levy processes in singular control
Erik J. Baurdoux, Kazutoshi Yamazaki
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 co…