Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Preprint |
| Veröffentlicht: |
2022
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| Schlagworte: | |
| Online-Zugang: | https://arxiv.org/abs/2210.00501 |
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Inhaltsangabe:
- 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 Lévy process, we show the optimality of a periodic barrier strategy, which moves the process upward to the barrier whenever it is observed to be below it. The convergence of the optimal solutions to those in the continuous-observation case is also shown.