Federico, Salvatore; Ferrari, Giorgio; Rodosthenous, Neofytos: Two-Sided Singular Control of an Inventory with Unknown Demand Trend. In: . Vol.643. 2021, page 32 et seq.
Content
- Introduction
- Problem Formulation and the Separated Problem
- The First Related Optimal Stopping Game
- A Decoupling Change of Measure
- Transformation of process to .
- Change of measure from ¶ to QT, for some fixed T>0.
- Passing to the limit as T and to the new measure Q.
- The optimal control problem with state-space process (XP,) under the new measure Q.
- The optimal stopping game associated to (4.8)–(4.9) under the new measure Q.
- HJB Equation and Regularity of V
- Verification Theorem and Optimal Control
- Construction of control P"0362P for state-space process (XP"0362P,).
- Transformation of controlled process (XP"0362P,) to (XP"0362P,YP"0362P).
- Optimality of control P"0362P.
- Refined Regularity of the Free Boundaries and their Characterization
- Parabolic formulation and Lipschitz continuity of the free boundaries
- Global C1-regularity of v"0362v
- Integral equations for the free boundaries
- Appendix A
- References