Generalized Kuhn--Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources
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Publication:2873857
DOI10.1137/120870360zbMath1283.91143arXiv1203.3757OpenAlexW2090150838MaRDI QIDQ2873857
Maria B. Chiarolla, Frank Riedel, Giorgio Ferrari
Publication date: 27 January 2014
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1203.3757
optimal stoppingbase capacityBank and El Karoui representation theoremBank's single firm problemLagrange multiplier optional measurestochastic irreversible investment
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)
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