A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs
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Abstract
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DOI: 10.1287/moor.2018.0934
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References listed on IDEAS
- Tiziano De Angelis & Giorgio Ferrari & John Moriarty, 2014.
"A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries,"
Papers
1405.2442, arXiv.org, revised Nov 2014.
- de Angelis, Tiziano & Ferrari, Giorgio & Moriarty, John, 2016. "A non convex singular stochastic control problem and its related optimal stopping boundaries," Center for Mathematical Economics Working Papers 508, Center for Mathematical Economics, Bielefeld University.
- Dayanik, Savas & Karatzas, Ioannis, 2003. "On the optimal stopping problem for one-dimensional diffusions," Stochastic Processes and their Applications, Elsevier, vol. 107(2), pages 173-212, October.
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Cited by:
- Federico, Salvatore & Ferrari, Giorgio & Schuhmann, Patrick, 2020. "Singular Control of the Drift of a Brownian System," Center for Mathematical Economics Working Papers 637, Center for Mathematical Economics, Bielefeld University.
- Federico, Salvatore & Ferrari, Giorgio & Schuhmann, Patrick, 2019. "A Model for the Optimal Management of Inflation," Center for Mathematical Economics Working Papers 624, Center for Mathematical Economics, Bielefeld University.
- Dianetti, Jodi & Ferrari, Giorgio, 2021. "Multidimensional Singular Control and Related Skorokhod Problem: Suficient Conditions for the Characterization of Optimal Controls," Center for Mathematical Economics Working Papers 645, Center for Mathematical Economics, Bielefeld University.
- Andrea Bovo & Tiziano De Angelis & Jan Palczewski, 2023. "Stopper vs. singular-controller games with degenerate diffusions," Papers 2312.00613, arXiv.org, revised Jul 2024.
- Salvatore Federico & Giorgio Ferrari & Patrick Schuhmann, 2019. "A Model for the Optimal Management of Inflation," Department of Economics University of Siena 812, Department of Economics, University of Siena.
- Jodi Dianetti & Giorgio Ferrari & Renyuan Xu, 2024. "Exploratory Optimal Stopping: A Singular Control Formulation," Papers 2408.09335, arXiv.org, revised Oct 2024.
- Andrea Bovo & Tiziano De Angelis & Jan Palczewski, 2023. "Zero-sum stopper vs. singular-controller games with constrained control directions," Papers 2306.05113, arXiv.org, revised Feb 2024.
- Dianetti, Jodi & Ferrari, Giorgio, 2023. "Multidimensional singular control and related Skorokhod problem: Sufficient conditions for the characterization of optimal controls," Stochastic Processes and their Applications, Elsevier, vol. 162(C), pages 547-592.
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Keywords
finite-fuel singular stochastic control; optimal stopping; free boundary; Hamilton–Jacobi–Bellman equation; irreversible investment; electricity market;All these keywords.
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