A reversible investment problem with capacity and demand in finite horizon: free boundary analysis
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Publication:6490243
finite horizonsingular stochastic controlreversible investmentoptimal disinvestment boundaryoptimal investment boundary
Corporate finance (dividends, real options, etc.) (91G50) Variational and other types of inequalities involving nonlinear operators (general) (47J20) Variational inequalities (49J40) Optimal stochastic control (93E20) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85)
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Cites work
- scientific article; zbMATH DE number 3899626 (Why is no real title available?)
- scientific article; zbMATH DE number 1061253 (Why is no real title available?)
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- An irreversible investment problem with maintenance expenditure
- An irreversible investment problem with maintenance expenditure on a finite horizon: free boundary analysis
- Characterization of the optimal boundaries in reversible investment problems
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- Irreversible investment
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- On irreversible investment
- Optimal Boundary Surface for Irreversible Investment with Stochastic Costs
- Optimal investment and consumption with transaction costs
- Optimal partially reversible investment with entry decision and general production function
- Parabolic variational inequality with parameter and gradient constraints
- Stochastic differential equations with reflecting boundary conditions
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