Optimal partially reversible investment with entry decision and general production function

DOI10.1016/J.SPA.2004.12.002MaRDI QIDQ2485848zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Optimal stoppingSingular stochastic controlSkorokhod problemViscosity solutions

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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Cites work

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Cited in

(41)

• Optimal entry to an irreversible investment plan with non convex costs
• On solvability of a two-sided singular control problem
• A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables
• Irreversible capital accumulation with economic impact
• MFGs for partially reversible investment
• On an ergodic two-sided singular control problem
• Approximating Nash equilibrium for production control with sticky price
• An integral equation approach for optimal investment policies with partial reversibility
• Irreversible investment with fixed adjustment costs: a stochastic impulse control approach
• Optimality of doubly reflected Lévy processes in singular control
• Optimal liquidity management and hedging in the presence of a non-predictable investment opportunity
• Optimal dividend policy and growth option
• Buy-low and sell-high investment strategies
• Generalized Kuhn-Tucker conditions for N-firm stochastic irreversible investment under limited resources
• On singular control problems with state constraints and regime-switching: a viscosity solution approach
• Characterization of the optimal boundaries in reversible investment problems
• Exit option for a class of profit functions
• Optimal strategies in a risky debt context
• Irreversible investment, operating flexibility, and time lags
• The explicit solution to a sequential switching problem with non-smooth data
• Pricing Asset Scheduling Flexibility using Optimal Switching
• Stochastic games for fuel follower problem: \(N\) versus mean field game
• Stochastic nonzero-sum games: a new connection between singular control and optimal stopping
• Optimal stopping under uncertainty in drift and jump intensity
• Optimal control of debt-to-GDP ratio in an \(N\)-state regime switching economy
• Explicit solution to an irreversible investment model with a stochastic production capacity
• Interbank lending with benchmark rates: Pareto optima for a class of singular control games
• Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls
• Parabolic variational inequality with parameter and gradient constraints
• A reversible investment problem with capacity and demand in finite horizon: free boundary analysis
• Bridging socioeconomic pathways of \(\mathrm{CO}_2\) emission and credit risk
• Optimal timing of business conversion for solvency improvement
• A stochastic non-zero-sum game of controlling the debt-to-GDP ratio
• Two-sided Poisson control of linear diffusions
• A reversible investment problem with general cost function in finite horizon: free boundaries analysis
• The finite-horizon reversible investment problem with the constant elasticity of variance model
• A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis
• On the singular control of exchange rates
• A mixed singular/switching control problem for a dividend policy with reversible technology investment
• Solving singular control from optimal switching
• Switching problem and related system of reflected backward SDEs

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