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 …

We derive a new equation for the optimal investment boundary of a general irreversible investment problem under … the Wiener-Hopf factorization allow us to derive an integral equation for the optimal investment boundary. In case the … underlying Lévy process hits any point in R with positive probability we show that the integral equation for the investment …

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 …

We derive a new equation for the optimal investment boundary of a general irreversible investment problem under … the Wiener-Hopf factorization allow us to derive an integral equation for the optimal investment boundary. In case the … underlying Lévy process hits any point in R with positive probability we show that the integral equation for the investment …

, stochastic, irreversible investment problems with uncertainty modeled as a one-dimensional, regular diffusion X0;x. The new … problem for the free boundary. -- integral equation ; free boundary ; irreversible investment ; singular stochastic control …

. On one side, this finding opens terrain for a capital valuation theory yet to be developed; on the other side, it …

We study a continuous-time, finite horizon optimal stochastic reversible investment problem for a firm producing a … bounded variation process which represents the cumulative investment-disinvestment strategy. We associate to the … Volterra type. The optimal investment-disinvestment strategy is then shown to be a diff usion reflected at the two boundaries …

This paper addresses the issue of how regulatory constraints affect firm s investment choices when the firm has an … option to delay investment. The RPI-x rule is compared to a profit sharing rule, which increases the x factor in case profits … go beyond a given level. It is shown that a pure price cap and profit sharing are identical in their impact on investment …

This paper addresses the issue of how regulatory constraints affect firm's investment choices when the firm has an … option to delay investment. The RPI-x rule is compared to a profit sharing rule, which increases the x factor in case profits … go beyond a given level. It is shown that a pure price cap and profit sharing are identical in their impact on investment …