A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Non Convex Costs
Year of publication: |
2014-11
|
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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 | Hamilton-Jacobi-Bellmann equation | irreversible investment | electricity market |
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