Optimal Installation of Solar Panels with Price Impact: A Solvable Singular Stochastic Control Problem

DOI10.1137/19M1300972zbMath1470.91195arXiv1911.04223OpenAlexW3196569513MaRDI QIDQ5012330

Torben Koch, Tiziano Vargiolu

Publication date: 1 September 2021

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

Full work available at URL: https://arxiv.org/abs/1911.04223

zbMATH Keywords

variational inequalityOrnstein-Uhlenbeck processsingular stochastic controlmarket impactirreversible investment

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Optimal stochastic control (93E20) Diffusion processes (60J60)

Related Items (4)

Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls ⋮ Optimal consumption and investment with welfare constraints ⋮ Singular control of the drift of a Brownian system ⋮ Optimal installation of renewable electricity sources: the case of Italy

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