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On solvability of a two-sided singular control problem




TekijätMatomaki P

KustantajaSPRINGER HEIDELBERG

Julkaisuvuosi2012

JournalMathematical Methods of Operations Research

Tietokannassa oleva lehden nimiMATHEMATICAL METHODS OF OPERATIONS RESEARCH

Lehden akronyymiMATH METHOD OPER RES

Vuosikerta76

Numero3

Aloitussivu239

Lopetussivu271

Sivujen määrä33

ISSN1432-2994

DOIhttps://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.



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