Showing 1 - 6 of 6
We study a class of infinite-dimensional singular stochastic control problems with applications in economic theory and finance. The control process linearly affects an abstract evolution equation on a suitable partially-ordered infinite-dimensional space X, it takes values in the positive cone...
Persistent link: https://www.econbiz.de/10012042153
This paper examines a Markovian model for the optimal irreversible investment problem of a firm aiming at minimizing total expected costs of production. We model market uncertainty and the cost of investment per unit of production capacity as two independent one-dimensional regular diffusions,...
Persistent link: https://www.econbiz.de/10010427186
This paper examines a Markovian model for the optimal irreversible investment problem of a firm aiming at minimizing total expected costs of production. We model market uncertainty and the cost of investment per unit of production capacity as two independent one-dimensional regular diffusions,...
Persistent link: https://www.econbiz.de/10010366159
We study a class of infinite-dimensional singular stochastic control problems with applications in economic theory and finance. The control process linearly affects an abstract evolution equation on a suitable partially-ordered infinite-dimensional space X, it takes values in the positive cone...
Persistent link: https://www.econbiz.de/10012009904
Persistent link: https://www.econbiz.de/10011773311
This paper examines a Markovian model for the optimal irreversible investment problem of a firm aiming at minimizing total expected costs of production. We model market uncertainty and the cost of investment per unit of production capacity as two independent one-dimensional regular diffusions,...
Persistent link: https://www.econbiz.de/10010787029