A solvable two-dimensional degenerate singular stochastic control problem with nonconvex costs (Q5219728)
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scientific article; zbMATH DE number 7179972
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| English | A solvable two-dimensional degenerate singular stochastic control problem with nonconvex costs |
scientific article; zbMATH DE number 7179972 |
Statements
A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs (English)
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12 March 2020
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finite-fuel singular stochastic control
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optimal stopping
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free boundary
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Hamilton-Jacobi-Bellman equation
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irreversible investment
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electricity market
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0.8049060106277466
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0.7998940944671631
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0.7961533069610596
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0.7944824695587158
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