Explicit solution to an irreversible investment model with a stochastic production capacity

zbMATH Open1103.93049MaRDI QIDQ5493564FDOQ5493564

Authors: Huyên Pham 

Publication date: 23 October 2006

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zbMATH Keywords

viscosity solutionsingular stochastic controlSkorokhod problem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Cited In (16)

• Title not available (Why is that?)
• A Model for Reversible Investment Capacity Expansion
• Irreversible investment under Lévy uncertainty: an equation for the optimal boundary
• A Knightian irreversible investment problem
• Capacity expansion with exponential jump diffusion processes
• A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis
• Analysis of the Model of Optimal Expansion of a Firm
• Identifying the free boundary of a stochastic, irreversible investment problem via the Bank-El Karoui representation theorem
• A reversible investment problem with capacity and demand in finite horizon: free boundary analysis
• Explicit Solution of a Stochastic, Irreversible Investment Problem and Its Moving Threshold
• On an integral equation for the free-boundary of stochastic, irreversible investment problems
• An irreversible investment problem with demand on a finite horizon: the optimal investment boundary analysis
• On a stochastic, irreversible investment problem
• Optimal partially reversible investment with entry decision and general production function
• Generalized Kuhn-Tucker conditions for \(N\)-firm stochastic irreversible investment under limited resources
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