On an integral equation for the free-boundary of stochastic, irreversible investment problems
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Publication:2258528
DOI10.1214/13-AAP991zbMath1307.93455arXiv1211.0412MaRDI QIDQ2258528
Publication date: 26 February 2015
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1211.0412
integral equationoptimal stoppingfree-boundarysingular stochastic controlirreversible investmentone-dimensional diffusionBank and El Karoui's representation theorembase capacity
Stochastic models in economics (91B70) Optimal stochastic control (93E20) Random operators and equations (aspects of stochastic analysis) (60H25) Stopping times; optimal stopping problems; gambling theory (60G40)
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