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

MaRDI QIDQ5493564zbMATH OpenFDO

Authors Huyên Pham

Publication date 23 October 2006

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)

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Cited in

(16)

• scientific article; zbMATH DE number 5952701 (Why is no real title available?)
• 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
• On a stochastic, irreversible investment problem
• An irreversible investment problem with demand on a finite horizon: the optimal investment boundary analysis
• Optimal partially reversible investment with entry decision and general production function
• Generalized Kuhn-Tucker conditions for \(N\)-firm stochastic irreversible investment under limited resources
• scientific article; zbMATH DE number 957567 (Why is no real title available?)

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