Characterization of the Optimal Boundaries in Reversible Investment Problems

DOI10.1137/130927814zbMath1300.93184arXiv1203.0895OpenAlexW2952963215MaRDI QIDQ2930954

Huyên Pham, Salvatore Federico

Publication date: 21 November 2014

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

Full work available at URL: https://arxiv.org/abs/1203.0895

zbMATH Keywords

viscosity solutionsingular stochastic controlsmooth fitoptimal capacityreversible investment

Mathematics Subject Classification ID

Variational inequalities (49J40) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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