Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment
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Publication:2240480
DOI10.1214/20-AAP1577zbMath1476.93155arXiv1810.08495MaRDI QIDQ2240480
Publication date: 4 November 2021
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1810.08495
stochastic control; irreversible investment with inventory risk; Làdlàg controls; Meyer-\( \sigma \)-fields
91B70: Stochastic models in economics
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
Related Items
Merton's Optimal Investment Problem with Jump Signals, On a stochastic representation theorem for Meyer-measurable processes, A Knightian irreversible investment problem
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