Identifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank--El Karoui Representation Theorem

DOI10.1137/11085195XzbMath1298.91118arXiv1108.4886MaRDI QIDQ5494908

Publication date: 30 July 2014

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

Full work available at URL: https://arxiv.org/abs/1108.4886

zbMATH Keywords

optimal stopping free boundary singular stochastic control irreversible investment Bank and El Karoui's representation theorem base capacity

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Production theory, theory of the firm (91B38) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40)

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