[Todos CMAT] Seminario de Probabilidad y Estadística - Mauricio Junca (Universidad de los Andes, Colombia)

[seminarios en cmat.edu.uy]

Seminario de Probabilidad y Estadística
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Título: "An optimal multibarrier strategy for a singular stochastic control problem with a state-dependent reward."

Expositor: Mauricio Junca (Universidad de los Andes, Colombia)

Resumen:
 
We consider a singular control problem where the reward function depends on the
state of the process. The main objective of this paper is to establish
sufficient conditions for determining the optimality of the one-barrier and
$(2n+1)$-barrier strategies in two distinct scenarios. Firstly, when the
uncontrolled process $X$ follows a spectrally negative L\'evy process with a
L\'evy measure defined by a completely monotone density. Secondly, when $X$ is a
Brownian motion with a drift. Additionally, we provide an algorithm to compute
the barrier values in the latter case. Joint work with Harold Moreno and José
Luis Pérez.
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Viernes 27/10 a las 10:30, virtual, zoom

Contacto: Alejandro Cholaquidis - acholaquidis en hotmail.com
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https://salavirtual-
udelar.zoom.us/j/88544669179?pwd=UlBHdWRWdEZVMGw0akpPeEd0VWJzZz09

Página del  seminario : https://pye.cmat.edu.uy/ seminario

Página del grupo: https://pye.cmat.edu.uy/home

Canal de youtube: https://www.youtube.com/channel/UCOPZEOrLSAYPz2qCAL-KqMg/about
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