Optimal Installation of Solar Panels with Price Impact: A Solvable Singular Stochastic Control Problem
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Publication:5012330
DOI10.1137/19M1300972zbMath1470.91195arXiv1911.04223OpenAlexW3196569513MaRDI QIDQ5012330
Publication date: 1 September 2021
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1911.04223
variational inequalityOrnstein-Uhlenbeck processsingular stochastic controlmarket impactirreversible investment
Stochastic models in economics (91B70) Optimal stochastic control (93E20) Diffusion processes (60J60)
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