A solvable two-dimensional singular stochastic control problem with non convex costs
Year of publication: |
2016
|
---|---|
Authors: | De Angelis, Tiziano ; Ferrari, Giorgio ; Moriarty, John |
Publisher: |
Bielefeld : Bielefeld University, Center for Mathematical Economics (IMW) |
Subject: | finite-fuel singular stochastic control | optimal stopping | free boundary | Hamilton-Jacobi-Bellman equation | irreversible investment | electricity market |
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