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Solving Singular Control from Optimal Switching

Author

Listed:
  • Xin Guo

    ()

  • Pascal Tomecek

    ()

Abstract

No abstract is available for this item.

Suggested Citation

  • Xin Guo & Pascal Tomecek, 2008. "Solving Singular Control from Optimal Switching," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(1), pages 25-45, March.
  • Handle: RePEc:kap:apfinm:v:15:y:2008:i:1:p:25-45
    DOI: 10.1007/s10690-008-9071-3
    as

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    File URL: http://hdl.handle.net/10.1007/s10690-008-9071-3
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    References listed on IDEAS

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