Optimal partially reversible investment with entry decision and general production function
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Publication:2485848
DOI10.1016/J.SPA.2004.12.002zbMATH Open1077.60048OpenAlexW2157757184MaRDI QIDQ2485848FDOQ2485848
Authors: Xin Guo, Huyên Pham 
Publication date: 5 August 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2004.12.002
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
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Cited In (39)
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- Irreversible investment with fixed adjustment costs: a stochastic impulse control approach
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- A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables
- Irreversible capital accumulation with economic impact
- Parabolic variational inequality with parameter and gradient constraints
- Switching problem and related system of reflected backward SDEs
- On solvability of a two-sided singular control problem
- Interbank lending with benchmark rates: Pareto optima for a class of singular control games
- On singular control problems with state constraints and regime-switching: a viscosity solution approach
- Optimal dividend policy and growth option
- Exit option for a class of profit functions
- Stochastic games for fuel follower problem: \(N\) versus mean field game
- Optimal strategies in a risky debt context
- The explicit solution to a sequential switching problem with non-smooth data
- Buy-low and sell-high investment strategies
- Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls
- Irreversible investment, operating flexibility, and time lags
- A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis
- Approximating Nash equilibrium for production control with sticky price
- Stochastic nonzero-sum games: a new connection between singular control and optimal stopping
- On an ergodic two-sided singular control problem
- A stochastic non-zero-sum game of controlling the debt-to-GDP ratio
- Two-sided Poisson control of linear diffusions
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- Pricing Asset Scheduling Flexibility using Optimal Switching
- Optimal entry to an irreversible investment plan with non convex costs
- An integral equation approach for optimal investment policies with partial reversibility
- Optimal liquidity management and hedging in the presence of a non-predictable investment opportunity
- Generalized Kuhn-Tucker conditions for \(N\)-firm stochastic irreversible investment under limited resources
- Characterization of the optimal boundaries in reversible investment problems
- Optimality of doubly reflected Lévy processes in singular control
- Optimal stopping under uncertainty in drift and jump intensity
- Bridging socioeconomic pathways of \(\mathrm{CO}_2\) emission and credit risk
- Solving singular control from optimal switching
- MFGs for partially reversible investment
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