A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis

DOI10.1016/j.spa.2014.07.008zbMath1295.93073arXiv1303.6189OpenAlexW3124311599WikidataQ59898401 ScholiaQ59898401MaRDI QIDQ744236

Tiziano De Angelis, Giorgio Ferrari

Publication date: 6 October 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.6189

zbMATH Keywords

singular stochastic controlfree-boundary problemspartially reversible investmentSkorokhod reflection problemzero-sum optimal stopping games

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Free boundary problems for PDEs (35R35)

Related Items (11)

On the singular control of exchange rates ⋮ On an ergodic two-sided singular control problem ⋮ Optimal entry to an irreversible investment plan with non convex costs ⋮ Two-Sided Singular Control of an Inventory with Unknown Demand Trend ⋮ The dividend problem with a finite horizon ⋮ Nash equilibria of threshold type for two-player nonzero-sum games of stopping ⋮ Irreversible capital accumulation with economic impact ⋮ Stochastic nonzero-sum games: a new connection between singular control and optimal stopping ⋮ Optimal Control of Debt-to-GDP Ratio in an $N$-State Regime Switching Economy ⋮ A Dynkin Game on Assets with Incomplete Information on the Return ⋮ Irreversible investment with fixed adjustment costs: a stochastic impulse control approach

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