A1 Vertaisarvioitu alkuperäisartikkeli tieteellisessä lehdessä
On solvability of a two-sided singular control problem
Tekijät: Matomaki P
Kustantaja: SPRINGER HEIDELBERG
Julkaisuvuosi: 2012
Lehti: Mathematical Methods of Operations Research
Tietokannassa oleva lehden nimi: MATHEMATICAL METHODS OF OPERATIONS RESEARCH
Lehden akronyymi: MATH METHOD OPER RES
Vuosikerta: 76
Numero: 3
Aloitussivu: 239
Lopetussivu: 271
Sivujen määrä: 33
ISSN: 1432-2994
DOI: https://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.
Avainsanat:
Linear diffusion, Singular stochastic control, Two-sided control
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