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Solving Singular Control from Optimal Switching

  • Xin Guo

    ()

  • Pascal Tomecek

    ()

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    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s10690-008-9071-3
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    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
    Contact details of provider: Web page: http://springerlink.metapress.com/link.asp?id=102851

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    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. Ioannis Karatzas & Fridrik M. Baldursson, 1996. "Irreversible investment and industry equilibrium (*)," Finance and Stochastics, Springer, vol. 1(1), pages 69-89.
    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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