On Optimization of Long-Term Irreversible Investments in a Diffusion Model

DOI10.1137/S0040585X97978592zbMath0998.60038OpenAlexW2046533066MaRDI QIDQ4328509

Elena Boguslavskaya

Publication date: 25 April 2002

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97978592

zbMATH Keywords

Bellman equationhypergeometric functionsBessel functionsutility functionKummer functionsprofit functionoptimal control of investmentssmooth pasting conditions

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Stopping times; optimal stopping problems; gambling theory (60G40) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10) Classical hypergeometric functions, ({}_2F_1) (33C05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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