A Class of Solvable Stochastic Investment Problems Involving Singular Controls
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Publication:4311571
Cites work
- scientific article; zbMATH DE number 4078444 (Why is no real title available?)
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Cited in
(27)- A singular control model with application to the goodwill problem
- Approximating diffusion reflections at elastic boundaries
- Optimal capital accumulation under price uncertainty and costly reversibility
- Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality
- Irreversible capital accumulation with economic impact
- A model for the long-term optimal capacity level of an investment project
- On solvability of a two-sided singular control problem
- Expected supremum representation of the value of a singular stochastic control problem
- A nonconvex singular stochastic control problem and its related optimal stopping boundaries
- On irreversible investment
- A Knightian irreversible investment problem
- Inference in a synchronization game with social interactions
- Solution of a two-dimensional stochastic investment problem
- Irreversible capital accumulation under interest rate uncertainty
- A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis
- Optimal environment management in the presence of irreversibilities
- Singular stochastic control in the presence of a state-dependent yield structure
- Singular optimal controls for stochastic recursive systems under convex control constraint
- Optimal asset liquidation with multiplicative transient price impact
- Connections between optimal stopping and singular stochastic control
- On an integral equation for the free-boundary of stochastic, irreversible investment problems
- A finite horizon optimal switching problem with memory and application to controlled SDDEs
- Sequential capacity expansion options
- Optimal partially reversible investment with entry decision and general production function
- Bounded variation control of Itô diffusions with exogenously restricted intervention times
- Solving singular control from optimal switching
- A class of solvable singular stochastic control problems
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