Guo, Xin; Liu, Jun; Zhou, Xun Yu - In: Stochastic Processes and their Applications 109 (2004) 2, pp. 167-187
This paper investigates a mixed regular-singular stochastic control problem where the drift of the dynamics is quadratic in the regular control variable. More importantly, the regular control variable is constrained. The value function of the problem is derived in closed form via solving the...