Two sided long-time optimization singular control problems for Lévy processes and Dynkin's games
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arXiv
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| Format: | Preprint |
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2024
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| _version_ | 1866908462791786496 |
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| author | Mordecki, Ernesto Oliú, Facundo |
| author_facet | Mordecki, Ernesto Oliú, Facundo |
| contents | A relationship between two sided discounted singular control problems and Dynkin games is established for real valued Lévy processes. In addition, the solution of a two-sided ergodic singular control problem is obtained as the limit of the corresponding solution of the discounted one. With these results, we conclude that the optimal controls within the class of cadlag strategies can be in fact found in the class of reflecting barriers controls for both problems, and solved through some deterministic equations. To illustrate the results, three examples are given: compound Poisson processes with two-sided exponential jumps with and without Gaussian component, and stable processes. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_05731 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Two sided long-time optimization singular control problems for Lévy processes and Dynkin's games Mordecki, Ernesto Oliú, Facundo Probability 93E20, 60H30 A relationship between two sided discounted singular control problems and Dynkin games is established for real valued Lévy processes. In addition, the solution of a two-sided ergodic singular control problem is obtained as the limit of the corresponding solution of the discounted one. With these results, we conclude that the optimal controls within the class of cadlag strategies can be in fact found in the class of reflecting barriers controls for both problems, and solved through some deterministic equations. To illustrate the results, three examples are given: compound Poisson processes with two-sided exponential jumps with and without Gaussian component, and stable processes. |
| title | Two sided long-time optimization singular control problems for Lévy processes and Dynkin's games |
| topic | Probability 93E20, 60H30 |
| url | https://arxiv.org/abs/2403.05731 |