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On solvability of a two-sided singular control problem

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  • Pekka Matomäki

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

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  • Pekka Matomäki, 2012. "On solvability of a two-sided singular control problem," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 76(3), pages 239-271, December.
    • Handle: RePEc:spr:mathme:v:76:y:2012:i:3:p:239-271
    DOI: 10.1007/s00186-012-0398-1
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    Cited by:

    1. de Angelis, Tiziano & Ferrari, Giorgio, 2014. "A Stochastic Reversible Investment Problem on a Finite-Time Horizon: Free Boundary Analysis," Center for Mathematical Economics Working Papers 477, Center for Mathematical Economics, Bielefeld University.

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