An irreversible investment problem with maintenance expenditure on a finite horizon: free boundary analysis

DOI10.1016/J.JMAA.2016.03.048MaRDI QIDQ289517zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

free boundary problemvariational inequalitymaintenancefinite horizonirreversible investmentsingular stochastic control

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 3899626 (Why is no real title available?)
• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• scientific article; zbMATH DE number 1061253 (Why is no real title available?)
• An irreversible investment problem with maintenance expenditure
• Continuous-time stochastic control and optimization with financial applications
• Controlled Markov processes and viscosity solutions
• Finite horizon optimal investment and consumption with transaction costs
• Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
• Generalized Kuhn-Tucker conditions for \(N\)-firm stochastic irreversible investment under limited resources
• Identifying the free boundary of a stochastic, irreversible investment problem via the Bank-El Karoui representation theorem
• Irreversible investment
• Maintenance and investment: complements or substitutes? A reappraisal
• On an integral equation for the free-boundary of stochastic, irreversible investment problems
• On irreversible investment
• Optimal investment and consumption with transaction costs
• Stochastic differential equations with reflecting boundary conditions

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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