arXiv subjects

Khwanchai Kunwai

Publications and source records attributed to Khwanchai Kunwai.

2 recordsLinked to original sources

arXiv2022

On an Ergodic Two-Sided Singular Control Problem

Motivated by applications in natural resource management, risk management, and finance, this paper is focused on an ergodic two-sided singular control problem for a general one-dimensional diffusion process. The control is given by a bounded variation process. Under some mild conditions, the optimal reward value as well as an optimal control policy are derived by the vanishing discount method. Moreover, the Abelian and Cesàro limits are established. Then a direct solution approach is provided at the end of the paper.

math.OC↗

arXiv2020

On Feller and Strong Feller Properties and Irreducibility of Regime-Switching Jump Diffusion Processes with Countable Regimes

This work focuses on a class of regime-switching jump diffusion processes with a countably infinite state space for the discrete component. Such processes can be used to model complex hybrid systems in which both structural changes, small fluctuations as well as big spikes coexist and are intertwined. The paper provides weak sufficient conditions for Feller and strong Feller properties and irreducibility for such processes. The conditions are presented in terms of the coefficients of the associated stochastic differential equations.

math.PR↗