Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment

DOI10.1214/20-AAP1577zbMath1476.93155arXiv1810.08495OpenAlexW3113204101MaRDI QIDQ2240480

David Besslich, Peter Bank

Publication date: 4 November 2021

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.08495

zbMATH Keywords

stochastic controlirreversible investment with inventory riskLàdlàg controlsMeyer-\( \sigma \)-fields

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (3)

Merton's Optimal Investment Problem with Jump Signals ⋮ A Knightian irreversible investment problem ⋮ On a stochastic representation theorem for Meyer-measurable processes

Cites Work

• Duality theory for portfolio optimisation under transaction costs
• On irreversible investment
• The fundamental theorem of asset pricing under transaction costs
• A super-replication theorem in Kabanov's model of transaction costs
• Temps d'arret optimal, quasi-temps d'arret et retournement du temps
• Irreversible investment
• Optimal consumption choice with intertemporal substitution
• A stochastic representation theorem with applications to optimization and obstacle problems.
• Irreversible capital accumulation with economic impact
• On an integral equation for the free-boundary of stochastic, irreversible investment problems
• Characterization of the Optimal Boundaries in Reversible Investment Problems
• A Model for Reversible Investment Capacity Expansion
• Temps d'arrÊt optimal, théorie générale des processus et processus de Markov
• Optimal Boundary Surface for Irreversible Investment with Stochastic Costs
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