An Irreversible Investment Problem with Maintenance Expenditure

DOI10.1137/100799484zbMath1246.93126OpenAlexW2067566864MaRDI QIDQ2910902

Kazuhito Kawaguchi, Hiroaki Morimoto

Publication date: 12 September 2012

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/100799484

zbMATH Keywords

variational inequalityviscosity solutionoptimal investment probleminvestment-maintenancetochastically growing capital productivity

Mathematics Subject Classification ID

Variational inequalities (49J40) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (4)

An irreversible investment problem with maintenance expenditure on a finite horizon: free boundary analysis ⋮ A reversible investment problem with capacity and demand in finite horizon: free boundary analysis ⋮ An irreversible investment problem with demand on a finite horizon: the optimal investment boundary analysis ⋮ Integrating equipment investment strategy with maintenance operations under uncertain failures

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