On an irreversible investment problem with two-factor uncertainty
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Publication:5079381
DOI10.1080/14697688.2021.1983202zbMath1491.91160arXiv2103.08258OpenAlexW3137837013MaRDI QIDQ5079381
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Publication date: 27 May 2022
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2103.08258
Stopping times; optimal stopping problems; gambling theory (60G40) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Corporate finance (dividends, real options, etc.) (91G50)
Related Items (2)
Optimal execution with multiplicative price impact and incomplete information on the return ⋮ A reversible investment problem with capacity and demand in finite horizon: free boundary analysis
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