An irreversible investment problem with maintenance expenditure on a finite horizon: free boundary analysis
DOI10.1016/J.JMAA.2016.03.048zbMATH Open1339.93123OpenAlexW2311773083MaRDI QIDQ289517FDOQ289517
Authors: Xiaoru Han, Fahuai Yi 
Publication date: 30 May 2016
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2016.03.048
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free boundary problemvariational inequalitymaintenancefinite horizonirreversible investmentsingular stochastic control
Production theory, theory of the firm (91B38) Applications of optimal control and differential games (49N90) Control/observation systems governed by partial differential equations (93C20) Optimal stochastic control (93E20)
Cites Work
- Continuous-time stochastic control and optimization with financial applications
- Controlled Markov processes and viscosity solutions
- Stochastic differential equations with reflecting boundary conditions
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- Optimal investment and consumption with transaction costs
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- Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
- Irreversible investment
- On an integral equation for the free-boundary of stochastic, irreversible investment problems
- Generalized Kuhn-Tucker conditions for \(N\)-firm stochastic irreversible investment under limited resources
- An irreversible investment problem with maintenance expenditure
- Finite horizon optimal investment and consumption with transaction costs
- On irreversible investment
- Identifying the free boundary of a stochastic, irreversible investment problem via the Bank-El Karoui representation theorem
- Maintenance and investment: complements or substitutes? A reappraisal
Cited In (7)
- Numerical solution of a free boundary problem associated to investments with instantaneous irreversible environmental effects
- A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis
- Identifying the free boundary of a stochastic, irreversible investment problem via the Bank-El Karoui representation theorem
- A reversible investment problem with capacity and demand in finite horizon: free boundary analysis
- An irreversible investment problem with demand on a finite horizon: the optimal investment boundary analysis
- An irreversible investment problem with maintenance expenditure
- Analysis of an optimal investment model
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