Optimal Periodic Double-Barrier Strategies for Spectrally Negative L\'evy Processes
Speaker: Qingyuan Zhang
Affiliation: University of Queensland
Abstract
We consider a stochastic inventory control problem where the underlying process follows a spectrally negative L\'evy process. A controller can continuously increase the process but can only decrease it at independent Poisson arrival times. We show the optimality of the double-barrier strategy, which increases the process whenever it falls below some lower threshold and decreases it whenever it is observed above a higher threshold. The optimal strategy and the associated value function are written semi-explicitly using scale functions. Numerical results are also given.
About Financial maths and economics seminars (UQ-Osaka)
Students, staff and visitors to UQ are welcome to attend our monthly seminars between December 2024 to November 2025.
The events are jointly run by the School of Mathematics and Physics and Osaka University (Japan).
The Financial maths and economics seminars are part of the collaborative initiative Advancing Quantitative Methods for Emerging Challenges in Finance and Insurance between UQ and Osaka University. This initiative is supported by the UQ Global Partnership and aims to foster innovation and collaboration in the field of financial mathematics and economics.
