Federico, Salvatore; Ferrari, Giorgio; Schuhmann, Patrick: Singular Control of the Drift of a Brownian System. In: . Jg.637. 2020, S. 22 ff.
Inhalt
- 1. Introduction
- 2. Problem Formulation and Preliminary Results
- 3. The Dynkin Game and Preliminary Properties of the Free Boundaries
- 4. The Structure of the Value Function and the Second-Order Smooth Fit
- 5. Further Properties of the Free Boundaries
- 6. A System of Differential Equations for the Free Boundaries
- References