- Date: 26 Jul. (Tue.)
- Place: W.W. 6th-floor, Colloquium Room and on the Web (Zoom)
- Time: 16:30-18:00
- Speaker: Kei Noba (The Institute of Statistical Mathematics)
- Title: Optimality of classical or periodic barrier strategies for Lévy processes
- Abstract:
We revisit the stochastic control problem in two cases with Lévy processes that minimize running and controlling costs. Existing studies have shown the optimality of classical or periodic barrier strategies when driven by Brownian motion or Lévy processes with one-sided jumps. Under the assumption that we can be controlled at any time or only at Poissonian dividend-decision times, we show the optimality of classical or periodic barrier strategies for a general class of Lévy processes.
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