Explicit Solution of a Stochastic, Irreversible Investment Problem and Its Moving Threshold
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Publication:5704213
DOI10.1287/moor.1040.0113zbMath1082.91047OpenAlexW2168573415MaRDI QIDQ5704213
Ulrich G. Haussmann, Maria B. Chiarolla
Publication date: 11 November 2005
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.1040.0113
obstacle problemHamilton-Jacobi-Bellman (HJB) variational inequalityirreversible investmentoptimal profitmoving free boundarysingular stochastic control, optimal stopping
Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)
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On solvability of a two-sided singular control problem ⋮ An integral equation approach for optimal investment policies with partial reversibility ⋮ On irreversible investment ⋮ A MODEL FOR THE LONG-TERM OPTIMAL CAPACITY LEVEL OF AN INVESTMENT PROJECT ⋮ Solving singular control from optimal switching ⋮ On an integral equation for the free-boundary of stochastic, irreversible investment problems ⋮ Optimal partially reversible investment with entry decision and general production function ⋮ Irreversible capital accumulation with economic impact ⋮ Optimal Control of Brownian Inventory Models with Convex Holding Cost: Average Cost Case
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