Real Options Problem with Nonsmooth Obstacle

DOI10.1137/20M1386815zbMath1480.91301MaRDI QIDQ5019591

Alejandro Rivera, Subas Acharya, Alain Bensoussan, Dmitrii I. Rachinskii

Publication date: 10 January 2022

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

zbMATH Keywords

variational inequalityweak formulationstochastic optimal controlreal optionsstrong two-threshold solution

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Corporate finance (dividends, real options, etc.) (91G50)

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