A solvable two-dimensional degenerate singular stochastic control problem with nonconvex costs
Tiziano De Angelis, Giorgio Ferrari, John Moriarty
| Year of publication: |
2019
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|---|---|
| Authors: | De Angelis, Tiziano ; Ferrari, Giorgio ; Moriarty, John |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 44.2019, 2, p. 512-531
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| Subject: | finite-fuel singular stochastic control | optimal stopping | free boundary | Hamilton-Jacobi-Bellman equation | irreversible investment | electricity market | Kontrolltheorie | Control theory | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Suchtheorie | Search theory | Dynamische Optimierung | Dynamic programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2018.0934 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012028632