Optimal Investment Timing for Carbon Emission Reduction Technology with a Jump-Diffusion Process
From MaRDI portal
Publication:5163683
DOI10.1137/20M1339416zbMath1476.91215OpenAlexW3209703462MaRDI QIDQ5163683
Jin Liang, Wenlin Huang, Hua-ying Guo
Publication date: 5 November 2021
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/20m1339416
Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Corporate finance (dividends, real options, etc.) (91G50) Jump processes on discrete state spaces (60J74)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- An optimal control model of carbon reduction and trading
- On fair pricing of emission-related derivatives
- An EM-based approach for parameter enhancement with an application to speech signals
- An EM algorithm for estimation in Markov-modulated Poisson processes
- Applied stochastic control of jump diffusions.
- Timing of investment under technological and revenue-related uncertainties
- Continuous-time stochastic control and optimization with financial applications
- A model of intertemporal emission trading, banking, and borrowing
- An optimal control model for reducing and trading of carbon emissions
- Optimal control problem associated with jump processes
- Singular forward-backward stochastic differential equations and emissions derivatives
- Optimal control strategy of companies: inheriting period and carbon emission reduction
- Minimization of carbon abatement cost: modeling, analysis and simulation
- Stochastic stability and control
- Analytical Valuation of American Options on Jump‐Diffusion Processes
- Stability and stochastic stabilization of numerical solutions of regime-switching jump diffusion systems
- Risk-Neutral Models for Emission Allowance Prices and Option Valuation
- The EM Algorithm and Extensions, 2E
- A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions
- Optimal Stochastic Control and Carbon Price Formation
- Market Design for Emission Trading Schemes
- Viscosity Solutions of Hamilton-Jacobi Equations
- User’s guide to viscosity solutions of second order partial differential equations
- A Closed-Form Solution for the Exercise Strategy in a Real Options Model with a Jump-Diffusion Process
- Option pricing when underlying stock returns are discontinuous
- Computational Science - ICCS 2004
- Optimal stopping, free boundary, and American option in a jump-diffusion model
