Dianetti, Jodi; Ferrari, Giorgio: Multidimensional Singular Control and Related Skorokhod Problem: Suficient Conditions for the Characterization of Optimal Controls. In: . Jg.645. 2021, S. 38 ff.
Inhalt
- 1. Introduction
- 2. Problem formulation and main result
- 3. Proof of Theorem 2.5 for constant volatility
- 3.1. Step a: A connection to Dynkin games and the monotonicity property
- 3.2. Step b: Construction of -optimal policies
- 3.3. Step c: Characterization of the optimal control
- 4. On the proof of Theorem 2.5 for linear volatility
- 5. Comments, extensions and examples
- 5.1. Refinements of Assumption 2.1
- 5.2. Some remarks
- 5.3. Examples
- 5.4. An example with degenerate dynamics
- Appendix A. On the HJB equation
- Appendix B. Proof of Lemma 2.3 and of Proposition 3.10
- References