On an integral equation for the free-boundary of stochastic, irreversible investment problems

DOI10.1214/13-AAP991zbMath1307.93455arXiv1211.0412MaRDI QIDQ2258528

Giorgio Ferrari

Publication date: 26 February 2015

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

Full work available at URL: https://arxiv.org/abs/1211.0412

zbMATH Keywords

integral equationoptimal stoppingfree-boundarysingular stochastic controlirreversible investmentone-dimensional diffusionBank and El Karoui's representation theorembase capacity

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Optimal stochastic control (93E20) Random operators and equations (aspects of stochastic analysis) (60H25) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (16)

An irreversible investment problem with maintenance expenditure on a finite horizon: free boundary analysis ⋮ On the Optimal Management of Public Debt: a Singular Stochastic Control Problem ⋮ Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations ⋮ Optimal dynamic procurement policies for a storable commodity with Lévy prices and convex holding costs ⋮ Expected Supremum Representation of the Value of a Singular Stochastic Control Problem ⋮ Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment ⋮ A Knightian irreversible investment problem ⋮ Continuous-time public good contribution under uncertainty: a stochastic control approach ⋮ Irreversible investment under Lévy uncertainty: an equation for the optimal boundary ⋮ Stochastic nonzero-sum games: a new connection between singular control and optimal stopping ⋮ Continuous-time duality for superreplication with transient price impact ⋮ Sequential Capacity Expansion Options ⋮ On a Class of Infinite-Dimensional Singular Stochastic Control Problems ⋮ Irreversible investment with fixed adjustment costs: a stochastic impulse control approach ⋮ On a stochastic representation theorem for Meyer-measurable processes ⋮ A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries

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