On a Stochastic, Irreversible Investment Problem
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Publication:3557931
DOI10.1137/070703880zbMath1189.91216OpenAlexW1974376539MaRDI QIDQ3557931
Ulrich G. Haussmann, Maria B. Chiarolla
Publication date: 28 April 2010
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/070703880
optimal stoppingsingular stochastic controlirreversible investmentmoving free boundaryinstantaneous stopping equation
Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Corporate finance (dividends, real options, etc.) (91G50)
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