A Class of Solvable Stochastic Investment Problems Involving Singular Controls

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Title not available (Why is that?)
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Cited In (27)

A singular control model with application to the goodwill problem
Approximating diffusion reflections at elastic boundaries
Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality
Optimal capital accumulation under price uncertainty and costly reversibility
Irreversible capital accumulation with economic impact
A model for the long-term optimal capacity level of an investment project
Expected supremum representation of the value of a singular stochastic control problem
On solvability of a two-sided singular 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
Optimal environment management in the presence of irreversibilities
A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis
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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