On solvability of a two-sided singular control problem

Pekka Matomäki ()

Mathematical Methods of Operations Research, 2012, vol. 76, issue 3, 239-271

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. Copyright Springer-Verlag 2012

Keywords: Singular stochastic control; Two-sided control; Linear diffusion; 93E20; 60J60 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s00186-012-0398-1

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