Optimal entry to an irreversible investment plan with non convex costs

DOI10.1007/s11579-017-0187-yzbMath1411.91493arXiv1602.03106OpenAlexW2267574938WikidataQ59528041 ScholiaQ59528041MaRDI QIDQ1687372

Tiziano De Angelis, Randall Martyr, John Moriarty, Giorgio Ferrari

Publication date: 29 December 2017

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.03106

zbMATH Keywords

optimal stoppingsingular stochastic controlirreversible investmentcontinuous-time inventoryOrnstein-Uhlenbeck price process

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Portfolio theory (91G10)

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