A study of the free boundary of a two-dimensional singular
نویسنده
چکیده
A singular stochastic control problem with state constraints in two-dimensions is studied. We show that the free boundary between the control and no-action regions is approximately linear away from the state constraining boundaries. Proof of this result relies on connections with related optimal stopping problems. We provide an explicit solution to one such optimal stopping problem. Results of a numerical study of the free boundary and optimal value function are presented.
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تاریخ انتشار 2009