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.
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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