On solvability of a two-sided singular control problem



: Matomaki P

Publisher: SPRINGER HEIDELBERG

: 2012

: Mathematical Methods of Operations Research

: MATHEMATICAL METHODS OF OPERATIONS RESEARCH

: MATH METHOD OPER RES

: 76

: 3

: 239

: 271

: 33

: 1432-2994

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


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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