A solvable two-dimensional singular stochastic control problem with non convex costs
Year of publication: |
July 2016
|
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Authors: | De Angelis, Tiziano ; Ferrari, Giorgio ; Moriarty, John |
Publisher: |
Bielefeld, Germany : Center for Mathematical Economics (IMW), Bielefeld University |
Subject: | finite-fuel singular stochastic control | optimal stopping | free boundary | Hamilton-Jacobi-Bellman equation | irreversible investment | electricity market | Kontrolltheorie | Control theory | Stochastischer Prozess | Stochastic process | Suchtheorie | Search theory | Mathematische Optimierung | Mathematical programming |
Extent: | 1 Online-Ressource (circa 26 Seiten) |
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Series: | Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW). - Bielefeld : IMW, ISSN 2942-9536, ZDB-ID 2437810-0. - Vol. 561 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Other identifiers: | hdl:10419/149018 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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