Matomäki, Pekka - In: Computational Statistics 76 (2012) 3, pp. 239-271
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 … the solution with respect to the volatility and control parameters. Lastly we illustrate the results with two explicit …