A non convex singular stochastic control problem and its related optimal stopping boundaries
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- 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.
References listed on IDEAS
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"On an integral equation for the free-boundary of stochastic, irreversible investment problems,"
Papers
1211.0412, arXiv.org, revised Jan 2015.
- Ferrari, Giorgio, 2014. "On an integral equation for the free boundary of stochastic, irreversible investment problems," Center for Mathematical Economics Working Papers 471, Center for Mathematical Economics, Bielefeld University.
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Cited by:
- Ferrari, Giorgio & Yang, Shuzhen, 2016. "On an optimal extraction problem with regime switching," Center for Mathematical Economics Working Papers 562, Center for Mathematical Economics, Bielefeld University.
- de Angelis, Tiziano & Ferrari, Giorgio & Martyr, Randall & Moriarty, John, 2016. "Optimal entry to an irreversible investment plan with non convex costs," Center for Mathematical Economics Working Papers 566, Center for Mathematical Economics, Bielefeld University.
- Giorgio Ferrari & Shuzhen Yang, 2016. "On an Optimal Extraction Problem with Regime Switching," Papers 1602.06765, arXiv.org, revised Dec 2017.
- de Angelis, Tiziano & Ferrari, Giorgio & Moriarty, John, 2016. "A solvable two-dimensional degenerate singular stochastic control problem with non convex costs," Center for Mathematical Economics Working Papers 531, Center for Mathematical Economics, Bielefeld University.
- de Angelis, Tiziano & Ferrari, Giorgio & Moriarty, John, 2016. "A solvable two-dimensional singular stochastic control problem with non convex costs," Center for Mathematical Economics Working Papers 561, Center for Mathematical Economics, Bielefeld University.
- Tiziano De Angelis & Erik Ekstrom, 2016. "The dividend problem with a finite horizon," Papers 1609.01655, arXiv.org, revised Nov 2017.
- 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.
More about this item
Keywords
finite-fuel singular stochastic control; optimal stopping; free-boundary; smooth- fit; Hamilton-Jacobi-Bellman equation; irreversible investment;JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
- D92 - Microeconomics - - Micro-Based Behavioral Economics - - - Intertemporal Firm Choice, Investment, Capacity, and Financing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2014-06-28 (All new papers)
- NEP-ORE-2014-06-28 (Operations Research)
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