Optimal partially reversible investment with entry decision and general production function

Stochastic Processes and their Applications

Volumn 115, Issue 5, 2005, Pages 705-736

  Guo, Xin ^a   Pham, Huyên ^b,c  

^a Cornell University   (United States)

^b CNRS   (France)

^c CREST   (France)

Author keywords

Optimal stopping; Production; Reversible investment; Singular stochastic control; Skorohod problem; Viscosity solutions

Indexed keywords

DYNAMIC PROGRAMMING; MATHEMATICAL MODELS; OPTIMAL CONTROL SYSTEMS; OPTIMIZATION; ORDINARY DIFFERENTIAL EQUATIONS; PRODUCTION; STOCHASTIC CONTROL SYSTEMS;

OPTIMAL STOPPING; REVERSIBLE INVESTMENT; SINGULAR STOCHASTIC CONTROL; SKOROHOD PROBLEM; VISCOSITY SOLUTIONS;

RANDOM PROCESSES;

EID: 16244417484     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2004.12.002     Document Type: Article

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