On solvability of a two-sided singular control problem

摘要

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.