Singular stochastic control in the presence of a state-dependent yield structure
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References listed on IDEAS
- Branson, David, 1991. "Inhomogeneous birth-death and birth-death-immigration processes and the logarithmic series distribution," Stochastic Processes and their Applications, Elsevier, vol. 39(1), pages 131-137, October.
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- GAHUNGU, Joachim & SMEERS, Yves, 2011. "A real options model for electricity capacity expansion," CORE Discussion Papers 2011044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Joachim Gahungu and Yves Smeers, 2012. "A Real Options Model for Electricity Capacity Expansion," RSCAS Working Papers 2012/08, European University Institute.
- Zhuo Jin & George Yin & Chao Zhu, 2011. "Numerical Solutions of Optimal Risk Control and Dividend Optimization Policies under A Generalized Singular Control Formulation," Papers 1111.2584, arXiv.org.
- de Angelis, Tiziano & Ferrari, Giorgio, 2016. "Stochastic nonzero-sum games: a new connection between singular control and optimal stopping," Center for Mathematical Economics Working Papers 565, Center for Mathematical Economics, Bielefeld University.
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KeywordsSingular stochastic control Value function Optimal reflection Green-kernel Linear diffusion;
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