We study optimal buying and selling strategies in target zone models. In these models the price is modeled by a diffusion process which is reflected at one or more barriers. Such models arise for example when a currency exchange rate is kept above a certain threshold due to central bank...

We consider the regularity of sample paths of Volterra–Lévy processes. These processes are defined as stochastic integrals M(t)=∫0tF(t,r)dX(r),t∈R+, where X is a Lévy process and F is a deterministic real-valued function. We derive the spectrum of singularities and a result on the...