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On solvability of a two-sided singular control problem

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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.

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Authors and Affiliations

  1. Department of Accounting and Finance, Turku School of Economics, University of Turku, 20014, Turku, Finland

    Pekka Matomäki

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  1. Pekka Matomäki
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Matomäki, P. On solvability of a two-sided singular control problem. Math Meth Oper Res 76, 239–271 (2012). https://doi.org/10.1007/s00186-012-0398-1

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  • DOI: https://doi.org/10.1007/s00186-012-0398-1

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