Irreversible investment with fixed adjustment costs : a stochastic impulse control approach
Year of publication: |
2019
|
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Authors: | Federico, Salvatore ; Rosestolato, Mauro ; Tacconi, Elisa |
Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 13.2019, 4, p. 579-616
|
Subject: | Impulse stochastic optimal control | Irreversible investment | Quasi-variational inequality | Viscosity solution | Fixed cost | Kontrolltheorie | Control theory | Stochastischer Prozess | Stochastic process | Anpassungskosten | Adjustment costs | Mathematische Optimierung | Mathematical programming | Investitionsentscheidung | Investment decision | Investition | Investment | Portfolio-Management | Portfolio selection | Volkswirtschaftliche Investitionstheorie | Theory of aggregate investment |
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