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Solving Singular Control from Optimal Switching

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  • Xin Guo

    ()

  • Pascal Tomecek

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10690-008-9071-3
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    Bibliographic Info

    Article provided by Springer in its journal Asia-Pacific Financial Markets.

    Volume (Year): 15 (2008)
    Issue (Month): 1 (March)
    Pages: 25-45

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    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

    Related research

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

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    1. Boetius, Frederik & Kohlmann, Michael, 1998. "Connections between optimal stopping and singular stochastic control," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 77(2), pages 253-281, September.
    2. 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, Elsevier, vol. 21(4-5), pages 831-852, May.
    3. 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.
    4. Alvarez, Luis H.R., 2011. "Optimal capital accumulation under price uncertainty and costly reversibility," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 35(10), pages 1769-1788, October.
    5. Guo, Xin & Pham, Huyên, 2005. "Optimal partially reversible investment with entry decision and general production function," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 115(5), pages 705-736, May.
    6. Ioannis Karatzas & Fridrik M. Baldursson, 1996. "Irreversible investment and industry equilibrium (*)," Finance and Stochastics, Springer, vol. 1(1), pages 69-89.
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