On Optimization of Long-Term Irreversible Investments in a Diffusion Model
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hypergeometric functionsBessel functionsBellman equationKummer functionsprofit functionutility functionoptimal control of investmentssmooth pasting conditions
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Classical hypergeometric functions, ({}_2F_1) (33C05) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic models in economics (91B70)
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Cited in
(8)- scientific article; zbMATH DE number 5283952 (Why is no real title available?)
- A model for the long-term optimal capacity level of an investment project
- Optimal investment and premium control in a nonlinear diffusion model
- A model for irreversible investment with construction and revenue uncertainty
- Long-term optimal investment strategies in the presence of adjustment costs
- Optimal Boundary Surface for Irreversible Investment with Stochastic Costs
- On an integral equation for the free-boundary of stochastic, irreversible investment problems
- Generalized Kuhn-Tucker conditions for N-firm stochastic irreversible investment under limited resources
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