Optimal Boundary Surface for Irreversible Investment with Stochastic Costs

DOI10.1287/MOOR.2016.0841zbMath1386.93304DBLPjournals/mor/AngelisFF17arXiv1406.4297OpenAlexW1706880461WikidataQ59886495 ScholiaQ59886495MaRDI QIDQ4595959

Salvatore Federico, Giorgio Ferrari, Tiziano De Angelis

Publication date: 7 December 2017

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.4297

zbMATH Keywords

optimal stoppingnonlinear integral equationssingular stochastic controlirreversible investmentfree-boundary problems

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Free boundary problems for PDEs (35R35)

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