A1 Refereed original research article in a scientific journal
On solvability of a two-sided singular control problem
Authors: Matomaki P
Publisher: SPRINGER HEIDELBERG
Publication year: 2012
Journal: Mathematical Methods of Operations Research
Journal name in source: MATHEMATICAL METHODS OF OPERATIONS RESEARCH
Journal acronym: MATH METHOD OPER RES
Volume: 76
Issue: 3
First page : 239
Last page: 271
Number of pages: 33
ISSN: 1432-2994
DOI: https://doi.org/10.1007/s00186-012-0398-1
Abstract
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.
Keywords:
Linear diffusion, Singular stochastic control, Two-sided control
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