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Ferrari, Giorgio: On a Class of Singular Stochastic Control Problems for Reflected Diffusions. In: . Jg.592. 2017, S. 26 ff.
Inhalt
1. Introduction
2. Problem formulation
2.1. The Probabilistic Setting
2.2. The Singular Control Problem
3. Solving the Problem
3.1. Cases (A) and (B) under the requirement >(0).
3.2. Cases (A) and (B) under the requirement =(0).
3.3. Case (C)
4. A Case Study with Mean-Reverting Dynamics: Sensitivity Analysis
Acknowledgments
Appendix A.
References
