کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1156488 | 958834 | 2015 | 38 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Games of singular control and stopping driven by spectrally one-sided Lévy processes
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Games of singular control and stopping driven by spectrally one-sided Lévy processes Games of singular control and stopping driven by spectrally one-sided Lévy processes](/preview/png/1156488.png)
چکیده انگلیسی
We study a zero-sum game where the evolution of a spectrally one-sided Lévy process is modified by a singular controller and is terminated by the stopper. The singular controller minimizes the expected values of running, controlling and terminal costs while the stopper maximizes them. Using fluctuation theory and scale functions, we derive a saddle point and the value function of the game. Numerical examples under phase-type Lévy processes are also given.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 125, Issue 1, January 2015, Pages 1–38
Journal: Stochastic Processes and their Applications - Volume 125, Issue 1, January 2015, Pages 1–38
نویسندگان
Daniel Hernández-Hernández, Kazutoshi Yamazaki,