Optimal boundary surface for irreversible investment with stochastic costs
Tiziano De Angelis, Salvatore Federico, Giorgio Ferrari
| Year of publication: |
November 2017
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|---|---|
| Authors: | De Angelis, Tiziano ; Federico, Salvatore ; Ferrari, Giorgio |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 42.2017, 4, p. 1135-1161
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| Subject: | irreversible investment | singular stochastic control | optimal stopping | free-boundary problems | nonlinear integral equations | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory | Optionspreistheorie | Option pricing theory | Suchtheorie | Search theory | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2016.0841 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011773311