Showing 1 - 7 of 7
Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for a general onedimensional diffusion that is reflected at...
Persistent link: https://www.econbiz.de/10012042131
Consider the problem of a central bank that wants to manage the exchange rate between its domestic currency and a foreign one. The central bank can purchase and sell the foreign currency, and each intervention on the exchange market leads to a proportional cost whose instantaneous marginal value...
Persistent link: https://www.econbiz.de/10012042133
We consider a price-maker company which generates electricity and sells it in the spot market. The company can increase its level of installed power by irreversible installations of solar panels. In absence of the company's economic activities, the spot electricity price evolves as an...
Persistent link: https://www.econbiz.de/10012388844
Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for a general onedimensional diffusion that is reflected at...
Persistent link: https://www.econbiz.de/10011892164
Consider the problem of a central bank that wants to manage the exchange rate between its domestic currency and a foreign one. The central bank can purchase and sell the foreign currency, and each intervention on the exchange market leads to a proportional cost whose instantaneous marginal value...
Persistent link: https://www.econbiz.de/10011892206
Persistent link: https://www.econbiz.de/10012295860
We consider a price-maker company which generates electricity and sells it in the spot market. The company can increase its level of installed power by irreversible installations of solar panels. In absence of the company's economic activities, the spot electricity price evolves as an...
Persistent link: https://www.econbiz.de/10012121992