A solvable singular control problem driven by a jump diffusion process with applications

作者：Pan, Chen^*; Zhang, Shuguang

来源：Stochastic Models, 2016, 32(1): 136-159.

DOI：10.1080/15326349.2015.1090881

• inventory
• singular control
• Double-exponential jump diffusion
• optimal switching
• solvability

We consider a class of singular control problems driven by a double exponential jump diffusion process, which come from the reversible investment problem. In some interesting cases (e.g., the running cost function is given by the so-called Cobb-Douglas production function), we give the explicit solutions to the singular control problem by using the connection between singular control and optimal switching. We solve a collection of consistent optimal switching problems and yield the explicit solution for the singular control problem. We then give an application to a particular inventory control problem in a single random period.

• 出版日期2016-1-2
• 单位中国科学技术大学