On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment
Year of publication: |
2014
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Authors: | De Angelis, Tiziano ; Federico, Salvatore ; Ferrari, Giorgio |
Publisher: |
Bielefeld : Bielefeld University, Center for Mathematical Economics (IMW) |
Subject: | irreversible investment | singular stochastic control | optimal stopping | free-boundary problems | nonlinear integral equations |
Series: | |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.2139/ssrn.2458910 [DOI] 78893628X [GVK] hdl:10419/103927 [Handle] RePEc:bie:wpaper:509 [RePEc] |
Classification: | C02 - Mathematical Methods ; C73 - Stochastic and Dynamic Games ; E22 - Capital; Investment (including Inventories); Capacity ; D92 - Intertemporal Firm Choice and Growth, Investment, or Financing |
Source: |
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De Angelis, Tiziano, (2014)
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Angelis, Tiziano De, (2014)
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