On solvability of a two-sided singular control problem
نویسنده
چکیده
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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ورودعنوان ژورنال:
- Math. Meth. of OR
دوره 76 شماره
صفحات -
تاریخ انتشار 2012