A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries
Year of publication: |
2014-05
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Authors: | Angelis, Tiziano De ; Ferrari, Giorgio ; Moriarty, John |
Institutions: | Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld |
Subject: | finite-fuel singular stochastic control | optimal stopping | free-boundary | smooth-fit | Hamilton-Jacobi-Bellman equation | irreversible investment |
Series: | |
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Type of publication: | Book / Working Paper |
Notes: | Number 508 25 pages |
Classification: | C02 - Mathematical Methods ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; E22 - Capital; Investment (including Inventories); Capacity ; D92 - Intertemporal Firm Choice and Growth, Investment, or Financing |
Source: |
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A Non Convex Singular Stochastic Control Problem and Its Related Optimal Stopping Boundaries
De Angelis, Tiziano, (2014)
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A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries
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Irreversible investment under Lévy uncertainty : an equation for the optimal boundary
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