Search Results - subject:"Stochastic impulse control"

An irreversible investment model with a stochastic production capacity and fixed plus proportional adjustment costs

Kamarianakis, Yiannis; Xepapadeas, Anastasios - Department of Economics, University of Crete - 2006

This paper studies the problem of a company which expands its stochastic production capacity in irreversible investments by purchasing capital and faces both fixed and proportional costs. The objective of the company is to find optimal production decisions to maximize its expected total net...

Persistent link: https://www.econbiz.de/10004994322

Stochastic impulse control with discounted and ergodic optimization criteria: A comparative study for the control of risky holdings

Kamarianakis, Yiannis; Xepapadeas, Anastasios - Department of Economics, University of Crete - 2006

transaction costs maximize (minimize) a power utility function. We compare stochastic impulse control policies derived via ergodic …

Persistent link: https://www.econbiz.de/10004994361

Optimal sale strategies in illiquid markets

Dahlgren, Martin - In: Mathematical Methods of Operations Research 61 (2005) 2, pp. 173-190

problem is described as a stochastic impulse control problem, and it is shown that it is related to solving a system of quasi … discussed and two numerical examples are presented. Further, two examples where the stochastic impulse control problem can be …

Persistent link: https://www.econbiz.de/10010949915

A unified approach to portfolio optimization with linear transaction costs

Zakamouline, Valeri - In: Mathematical Methods of Operations Research 62 (2005) 2, pp. 319-343

singular control or stochastic impulse control framework. In this paper we propose a unified framework, which generalizes the …

Persistent link: https://www.econbiz.de/10010950113

Optimal sale strategies in illiquid markets

Dahlgren, Martin - In: Computational Statistics 61 (2005) 2, pp. 173-190

Persistent link: https://www.econbiz.de/10010759121

A unified approach to portfolio optimization with linear transaction costs

Zakamouline, Valeri - In: Computational Statistics 62 (2005) 2, pp. 319-343

singular control or stochastic impulse control framework. In this paper we propose a unified framework, which generalizes the …

Persistent link: https://www.econbiz.de/10010759321

A Unified Approach to Portfolio Optimization with Linear Transaction Costs

Zakamouline, Valeri - EconWPA - 2004

singular control or stochastic impulse control framework. In this paper we propose a unified framework, which generalizes the …

Persistent link: https://www.econbiz.de/10005125672

Consumption-investment problems with transaction costs: Survey and open problems

Cadenillas, Abel - In: Computational Statistics 51 (2000) 1, pp. 43-68

impulse control. We also describe some open problems in this active area of research. Copyright Springer-Verlag Berlin … transaction costs in continuous time. The methods are those of optimal stopping, stochastic singular control, and stochastic …

Persistent link: https://www.econbiz.de/10010847687

Consumption-investment problems with transaction costs: Survey and open problems

Cadenillas, Abel - In: Mathematical Methods of Operations Research 51 (2000) 1, pp. 43-68

Persistent link: https://www.econbiz.de/10010950108