Explicit Solution of a Stochastic, Irreversible Investment Problem and Its Moving Threshold

DOI10.1287/MOOR.1040.0113MaRDI QIDQ5704213zbMATH OpenOpenAlexFDO

Authors Maria B. Chiarolla, Ulrich G. Haussmann

Publication date 11 November 2005

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

Full work available at URL https://doi.org/10.1287/moor.1040.0113

zbMATH Keywords

Hamilton-Jacobi-Bellman (HJB) variational inequalityirreversible investmentmoving free boundaryobstacle problemoptimal profitsingular stochastic control, optimal stopping

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

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Cited in

(22)

• On solvability of a two-sided singular control problem
• Irreversible capital accumulation with economic impact
• An integral equation approach for optimal investment policies with partial reversibility
• On an integral equation for the free-boundary of stochastic, irreversible investment problems
• Irreversible investment with fixed adjustment costs: a stochastic impulse control approach
• Optimal partially reversible investment with entry decision and general production function
• Irreversible investment under Lévy uncertainty: an equation for the optimal boundary
• An irreversible investment problem with maintenance expenditure on a finite horizon: free boundary analysis
• An irreversible investment problem with maintenance expenditure
• A model for the long-term optimal capacity level of an investment project
• On a stochastic, irreversible investment problem
• On irreversible investment
• Real options problem with nonsmooth obstacle
• Brownian inventory models with convex holding cost. I: Average-optimal controls
• Saddle points for maximin investment problems with observable but non-predictable parameters: solution via heat equation†
• A NOTE ON IRREVERSIBLE INVESTMENT, HEDGING AND OPTIMAL CONSUMPTION PROBLEMS
• Explicit solution to an irreversible investment model with a stochastic production capacity
• Identifying the free boundary of a stochastic, irreversible investment problem via the Bank-El Karoui representation theorem
• Two-sided Poisson control of linear diffusions
• A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis
• Numerical solution of a free boundary problem associated to investments with instantaneous irreversible environmental effects
• Solving singular control from optimal switching

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