Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1)

On solvability of a two-sided singular control problem




Julkaisun tekijät: Matomaki P

Kustantaja: SPRINGER HEIDELBERG

Julkaisuvuosi: 2012

Journal: Mathematical Methods of Operations Research

Tietokannassa oleva lehden nimi: MATHEMATICAL METHODS OF OPERATIONS RESEARCH

Lehden akronyymi: MATH METHOD OPER RES

Volyymi: 76

Julkaisunumero: 3

Sivujen määrä: 33

ISSN: 1432-2994

DOI: http://dx.doi.org/10.1007/s00186-012-0398-1


Tiivistelmä
We study a two-sided singular control problem in a general linear diffusion setting and provide a set of conditions under which an optimal control exists uniquely and is of singular control type. Moreover, under these conditions the associated value function can be written in a quasi-explicit form. Furthermore, we investigate comparative static properties of the solution with respect to the volatility and control parameters. Lastly we illustrate the results with two explicit examples.


Last updated on 2021-24-06 at 08:50