Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment

DOI10.1214/20-AAP1577zbMath1476.93155arXiv1810.08495MaRDI QIDQ2240480

David Besslich, Peter Bank

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

zbMATH Keywords

stochastic control; irreversible investment with inventory risk; Làdlàg controls; Meyer-\( \sigma \)-fields

Mathematics Subject Classification ID

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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