Parabolic variational inequality with parameter and gradient constraints

This paper concerns a singular control problem whose value function is governed by a time-dependent HJB equation with gradient constraints. The method is to transform a two-dimensional parabolic variational inequality with gradient constraints into a double obstacle problem with parameter involving two free boundaries that correspond to the investment and disinvestment policies. Moreover we analyze the behaviors of the free boundary surfaces. The main difficulties are to show the free boundary surfaces to be smooth with respect to time and to find the properties of free boundaries with respect to parameter.