Optimal entry to an irreversible investment plan with non convex costs
Tiziano De Angelis, Giorgio Ferrari, Randall Martyr, John Moriarty
| Year of publication: |
September 2017
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| Authors: | De Angelis, Tiziano ; Ferrari, Giorgio ; Martyr, Randall ; Moriarty, John |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 11.2017, 4, p. 423-454
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| Subject: | Continuous-time inventory | Optimal stopping | Singular stochastic control | Irreversible investment | Ornstein-Uhlenbeck price process | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory | Suchtheorie | Search theory | Mathematische Optimierung | Mathematical programming | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | Investitionsentscheidung | Investment decision |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-017-0187-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011900577