Irreversible investment under Lévy uncertainty: an equation for the optimal boundary

DOI10.1017/apr.2015.18zbMath1341.93108arXiv1411.2395OpenAlexW3123475684MaRDI QIDQ2806358

Giorgio Ferrari, Paavo H. Salminen

Publication date: 17 May 2016

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.2395

zbMATH Keywords

optimal stoppingfree-boundaryLévy processsingular stochastic controlirreversible investmentBank and El Karoui's representation theorembase capacity

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

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Expected Supremum Representation of the Value of a Singular Stochastic Control Problem ⋮ A Knightian irreversible investment problem ⋮ On a Class of Infinite-Dimensional Singular Stochastic Control Problems ⋮ Irreversible investment with fixed adjustment costs: a stochastic impulse control approach

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