An Irreversible Investment Problem with Maintenance Expenditure
From MaRDI portal
Publication:2910902
DOI10.1137/100799484zbMath1246.93126MaRDI QIDQ2910902
Kazuhito Kawaguchi, Hiroaki Morimoto
Publication date: 12 September 2012
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/100799484
variational inequality; viscosity solution; optimal investment problem; investment-maintenance; tochastically growing capital productivity
49J40: Variational inequalities
93E20: Optimal stochastic control
91G80: Financial applications of other theories
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
Related Items