On Optimization of Long-Term Irreversible Investments in a Diffusion Model

DOI10.1137/S0040585X97978592MaRDI QIDQ4328509zbMATH OpenOpenAlexFDO

Authors Elena Boguslavskaya

Publication date 25 April 2002

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97978592

zbMATH Keywords

Bellman equationBessel functionshypergeometric functionsKummer functionsoptimal control of investmentsprofit functionsmooth pasting conditionsutility function

Mathematics Subject Classification ID

Classical hypergeometric functions, ({}_2F_1) (33C05) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Stochastic models in economics (91B70)

Recommendations

• scientific article; zbMATH DE number 5283952
• On a stochastic, irreversible investment problem
• Exact solution of an optimal control problem of investment in a diffusion model
• Long time asymptotics for optimal investment
• Optimal investment and premium control in a nonlinear diffusion model
• On optimal investment with processes of long or negative memory
• Irreversible investment under Lévy uncertainty: an equation for the optimal boundary
• On an irreversible investment problem with two-factor uncertainty
• Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities

Cited in

(9)

• A model for irreversible investment with construction and revenue uncertainty
• Optimal investment and premium control in a nonlinear diffusion model
• On an integral equation for the free-boundary of stochastic, irreversible investment problems
• Long-term optimal investment strategies in the presence of adjustment costs
• Generalized Kuhn-Tucker conditions for N-firm stochastic irreversible investment under limited resources
• A model for the long-term optimal capacity level of an investment project
• scientific article; zbMATH DE number 5283952 (Why is no real title available?)
• Exact solution of an optimal control problem of investment in a diffusion model
• Optimal Boundary Surface for Irreversible Investment with Stochastic Costs

This page was built for publication: On Optimization of Long-Term Irreversible Investments in a Diffusion Model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4328509)