Super contact and related optimality conditions

DOI10.1016/0165-1889(91)90038-3zbMATH Open0737.90007OpenAlexW2095248654MaRDI QIDQ1177286FDOQ1177286

Authors: Bernard Dumas 

Publication date: 26 June 1992

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(91)90038-3

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zbMATH Keywords

diffusion processstochastic environmentsuper contactregion of no action

Mathematics Subject Classification ID

Economic growth models (91B62) Stochastic systems in control theory (general) (93E03)

Cites Work

• Title not available (Why is that?)
• Portfolio Selection with Transaction Costs
• Nouvelles méthodes en contrôle impulsionnel
• Impulse Control of Brownian Motion
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• Irreversible investment
• Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
• A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
• Some solvable stochastic control problemst^†
• Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
• Optimal control of a Brownian storage system
• Instantaneous Control of Brownian Motion

Cited In (49)

• Closed-form solutions to stochastic process switching problems
• Optimal investment with lumpy costs
• Optimal dividends with an affine penalty
• LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS
• Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates
• Taxation, agency conflicts, and the choice between callable and convertible debt
• Strategic real options
• Scale effects in dynamic contracting
• Optimal Asset Allocation for Passive Investing with Capital Loss Harvesting
• Optimal risk and liquidity management with costly refinancing opportunities
• Optimal learning before choice
• Portfolio Choice with Transaction Costs: A User’s Guide
• Conditional investment policy under uncertainty and irreversibility
• Maximizing the utility of consumption with commutable life annuities
• Optimal partially reversible investment
• The effect of mean reversion on entry and exit decisions under uncertainty
• Optimization ofN-risky asset portfolios with stochastic variance and transaction costs
• The role of spatial scale in the timing of uncertain environmental policy
• Human capital and portfolio choice: borrowing constraint and reversible retirement
• Optimal regulation of energy network expansion when costs are stochastic
• Optimization of risk policy and dividends with fixed transaction costs under interest rate
• Dynamic corporate investment and liquidity management under model uncertainty
• Annuitization and asset allocation under exponential utility
• Optimal reinsurance-investment and dividends problem with fixed transaction costs
• Transaction costs, trading volume, and the liquidity premium
• A simplified treatment of the theory of optimal regulation of Brownian motion
• Smooth pasting as rate of return equalization
• Irreversible investment with regime shifts
• Optimal dividend-distribution strategy under ambiguity aversion
• Non-cooperative investment in partnerships and their termination
• Common value experimentation
• Optimal dynamic contracts with moral hazard and costly monitoring
• Option pricing with transaction costs using a Markov chain approximation
• Reversible stopping (``switching) implies super contact
• The effect of uncertainty on investment timing in a real options model
• EXIT OPTIONS AND DIVIDEND POLICY UNDER LIQUIDITY CONSTRAINTS
• Market frictions and corporate finance: an overview paper
• Optimal fees for geometric mean market makers
• Optimal maintenance and scrapping versus the value of back ups
• A duality approach to continuous-time contracting problems with limited commitment
• Asymptotic analysis for target asset portfolio allocation with small transaction costs
• Optimal delta-hedging under transactions costs
• Optimal financing and dividend strategies with time inconsistency in a regime switching economy
• Leverage, uncertainty and investment decisions
• Firm behaviour under the threat of liquidation
• Pricing a European Basket Option in the Presence of Proportional Transaction Costs
• Robust dynamic trading with realization utility
• A class of solvable singular stochastic control problems
• Kalman filter approach to real options with active learning

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