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Solving Singular Control from Optimal Switching

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Author Info
Xin Guo ()
Pascal Tomecek ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s10690-008-9071-3
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Publisher Info
Article provided by Springer in its journal Asia-Pacific Financial Markets.

Volume (Year): 15 (2008)
Issue (Month): 1 (March)
Pages: 25-45
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:apfinm:v:15:y:2008:i:1:p:25-45

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Web page: http://springerlink.metapress.com/link.asp?id=102851

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords: Singular stochastic control; Optimal switching; Dynkin’s game; Reversible investment; Smooth fit principle;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Scheinkman, Jose A. & Zariphopoulou, Thaleia, 2001. "Optimal Environmental Management in the Presence of Irreversibilities," Journal of Economic Theory, Elsevier, vol. 96(1-2), pages 180-207, January. [Downloadable!] (restricted)
  2. Ioannis Karatzas & Fridrik M. Baldursson, 1996. "Irreversible investment and industry equilibrium (*)," Finance and Stochastics, Springer, vol. 1(1), pages 69-89. [Downloadable!] (restricted)
  3. Abel, Andrew B. & Eberly, Janice C., 1997. "An exact solution for the investment and value of a firm facing uncertainty, adjustment costs, and irreversibility," Journal of Economic Dynamics and Control, Elsevier, vol. 21(4-5), pages 831-852, May. [Downloadable!] (restricted)
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This page was last updated on 2009-12-4.

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