Two sided long-time optimization singular management issues for Lévy processes and Dynkin’s video games
Authors: Ernesto Mordecki, Facundo Oliú
Summary: A relationship between two sided discounted singular management issues and Dynkin video games is established for actual valued Lévy processes. As well as, the answer of a two-sided ergodic singular management drawback is obtained because the restrict of the corresponding resolution of the discounted one. With these outcomes, we conclude that the optimum controls throughout the class of cadlag methods might be the truth is discovered within the class of reflecting limitations controls for each issues, and solved via some deterministic equations. For instance the outcomes, three examples are given: compound Poisson processes with two-sided exponential jumps with and with out Gaussian part, and steady processes