Optimal Boundary Surface for Irreversible Investment with Stochastic Costs

DOI10.1287/moor.2016.0841zbMath1386.93304arXiv1406.4297OpenAlexW1706880461WikidataQ59886495 ScholiaQ59886495MaRDI QIDQ4595959

Salvatore Federico, Giorgio Ferrari, Tiziano De Angelis

Publication date: 7 December 2017

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.4297

zbMATH Keywords

optimal stoppingnonlinear integral equationssingular stochastic controlirreversible investmentfree-boundary problems

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Free boundary problems for PDEs (35R35)

Related Items (17)

On the Optimal Management of Public Debt: a Singular Stochastic Control Problem ⋮ On an irreversible investment problem with two-factor uncertainty ⋮ Multi-dimensional sequential testing and detection ⋮ A change of variable formula with applications to multi-dimensional optimal stopping problems ⋮ Optimal execution with multiplicative price impact and incomplete information on the return ⋮ On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions ⋮ A general approximation method for optimal stopping and random delay ⋮ Multidimensional investment problem ⋮ Optimal reduction of public debt under partial observation of the economic growth ⋮ Continuity of the optimal stopping boundary for two-dimensional diffusions ⋮ Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment ⋮ A Knightian irreversible investment problem ⋮ Irreversible capital accumulation with economic impact ⋮ Optimal dividends with partial information and stopping of a degenerate reflecting diffusion ⋮ Irreversible investment with fixed adjustment costs: a stochastic impulse control approach ⋮ Optimal investment and abandonment decisions for projects with construction uncertainty ⋮ Mean-field games of finite-fuel capacity expansion with singular controls

This page was built for publication: Optimal Boundary Surface for Irreversible Investment with Stochastic Costs