A Class of Solvable Stochastic Investment Problems Involving Singular Controls
From MaRDI portal
Publication:4311571
DOI10.1080/17442509308833826zbMath0825.93981OpenAlexW2047948346MaRDI QIDQ4311571
Publication date: 30 October 1994
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: http://urn.nb.no/URN:NBN:no-47851
Related Items
Optimal asset liquidation with multiplicative transient price impact ⋮ Inference in a synchronization game with social interactions ⋮ Approximating diffusion reflections at elastic boundaries ⋮ Irreversible capital accumulation under interest rate uncertainty ⋮ On solvability of a two-sided singular control problem ⋮ Expected Supremum Representation of the Value of a Singular Stochastic Control Problem ⋮ Singular stochastic control in the presence of a state-dependent yield structure ⋮ Optimal capital accumulation under price uncertainty and costly reversibility ⋮ Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality ⋮ On irreversible investment ⋮ A MODEL FOR THE LONG-TERM OPTIMAL CAPACITY LEVEL OF AN INVESTMENT PROJECT ⋮ Solving singular control from optimal switching ⋮ A singular control model with application to the goodwill problem ⋮ A Knightian irreversible investment problem ⋮ Singular optimal controls for stochastic recursive systems under convex control constraint ⋮ Bounded Variation Control of Itô Diffusions with Exogenously Restricted Intervention Times ⋮ Optimal environment management in the presence of irreversibilities ⋮ On an integral equation for the free-boundary of stochastic, irreversible investment problems ⋮ Optimal partially reversible investment with entry decision and general production function ⋮ Irreversible capital accumulation with economic impact ⋮ A class of solvable singular stochastic control problems ⋮ A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis ⋮ Connections between optimal stopping and singular stochastic control ⋮ Sequential Capacity Expansion Options ⋮ Solution of a two-dimensional stochastic investment problem ⋮ A finite horizon optimal switching problem with memory and application to controlled SDDEs ⋮ A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries
Cites Work
- Unnamed Item
- Existence of weak backward solutions to a generalized Hele Shaw flow moving boundary problem
- Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
- Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
- Absolutely continuous and singular stochastic control†
- Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems
- Applications of Variational Inequalities to a Moving Boundary Problem for Hele Shaw Flows
- Singular control problems in bounded intervals
- Equivalent models for finite-fuel stochastic control
- Some solvable stochastic control problemst†
- A new approach to the skorohod problem, and its applications
- Portfolio Selection with Transaction Costs
