In this paper we propose a continuous time stochastic inventory model for a traded commodity whose supply purchase in the spot market is affected by price and demand uncertainty. A firm aims at meeting a random demand of the commodity at a random time by maximizing total expected profits. We...

We study a stochastic, continuous time model on a finite horizon for a firm that produces a single good. We model the production capacity as an Ito diffusion controlled by a nondecreasing process representing the cumulative investment. The firm aims to maximize its expected total net profit by...

In this paper we study a continuous time, optimal stochastic investment problem under limited resources in a market with N firms. The investment processes are subject to a time-dependent stochastic constraint. Rather than using a dynamic programming approach, we exploit the concavity of the...

We use probabilistic methods to characterise the optimal exercise region of a swing option with put payoff, $n\ge 2$ exercise rights and finite maturity, when the underlying asset's dynamics is specified according to the Black & Scholes model. The optimal exercise region of each right (except...

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,...

Equivalences are known between problems of singular stochastic control (SSC) with convex performance criteria and related questions of optimal stopping, see for example Karatzas and Shreve [SIAM J. Control Optim. 22 (1984)]. The aim of this paper is to investigate how far connections of this...

We study a continuous-time, finite horizon optimal stochastic reversible investment problem for a firm producing a single good. The production capacity is modeled as a onedimensional,time-homogeneous, linear diffusion controlled by a bounded variation process which represents the cumulative...

We show that the equivalence between certain problems of singular stochastic control (SSC) and related questions of optimal stopping known for convex performance criteria (see, for example, Karatzas and Shreve (1984)) continues to hold in a non convex problem provided a related discretionary...