An irreversible investment problem with demand on a finite horizon: the optimal investment boundary analysis

DOI10.1016/J.CNSNS.2022.106302MaRDI QIDQ6495284zbMATH OpenFDO

Authors Xiaoru Han, Fahuai Yi

Publication date 30 April 2024

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.CNSNS.2022.106302

zbMATH Keywords

finite horizonirreversible investmentoptimal investment boundarysingular stochastic control

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

• 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
• Continuous-time stochastic control and optimization with financial applications
• Controlled Markov processes and viscosity solutions
• Explicit solution to an irreversible investment model with a stochastic production capacity
• Finite horizon optimal investment and consumption with transaction costs
• Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
• Generalized Kuhn-Tucker conditions for N-firm stochastic irreversible investment under limited resources
• scientific article; zbMATH DE number 3899626 (Why is no real title available?)
• scientific article; zbMATH DE number 1061253 (Why is no real title available?)
• Identifying the free boundary of a stochastic, irreversible investment problem via the Bank-El Karoui representation theorem
• Irreversible capital accumulation with economic impact
• Irreversible investment
• Irreversible investment with fixed adjustment costs: a stochastic impulse control approach
• On an integral equation for the free-boundary of stochastic, irreversible investment problems
• On irreversible investment
• Optimal Boundary Surface for Irreversible Investment with Stochastic Costs
• Optimal investment and consumption with transaction costs

Cited in

(4)

• A reversible investment problem with capacity and demand in finite horizon: free boundary analysis
• Dynamic asset allocation and consumption ratcheting with costs
• Local boundedness and Harnack inequality for an inverse variational inequality problem with double nonlinear parabolic operator in finance
• A reversible investment problem with general cost function in finite horizon: free boundaries analysis

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