Optimal Boundary Surface for Irreversible Investment with Stochastic Costs
暂无分享,去创建一个
Salvatore Federico | Giorgio Ferrari | Tiziano De Angelis | S. Federico | T. D. Angelis | G. Ferrari | T. Angelis | Giorgio Ferrari
[1] R. McDonald,et al. The Value of Waiting to Invest , 1982 .
[2] Peter Bank. Optimal Control under a Dynamic Fuel Constraint , 2005, SIAM J. Control. Optim..
[3] T. Kobila. A Class of Solvable Stochastic Investment Problems Involving Singular Controls , 1993 .
[4] M. Yor,et al. Continuous martingales and Brownian motion , 1990 .
[5] J.A.M.v.d. Weide. Probabilities and potential: Claude Dellacherie and Paul-André Meyer Volume 29 in: North-Holland Mathematics Studies, North-Holland, Amsterdam, 1978, xii + 190 pages, Dfl. 65.00 , 1981 .
[6] Erhan Bayraktar,et al. An Analysis of Monotone Follower Problems for Diffusion Processes , 2008, Math. Oper. Res..
[7] I. Karatzas. CONNECTIONS BETWEEN BOUNDED-VARIATION CONTROL AND DYNKIN GAMES , 2001 .
[8] Felix E. Browder,et al. The One-Dimensional Heat Equation: Preface , 1984 .
[9] A. Friedman. Partial Differential Equations of Parabolic Type , 1983 .
[10] I. Karatzas,et al. A new approach to the skorohod problem, and its applications , 1991 .
[11] Giorgio Ferrari,et al. Identifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank-El Karoui Representation Theorem , 2014, SIAM J. Control. Optim..
[12] Mihail Zervos,et al. A Model for Reversible Investment Capacity Expansion , 2007, SIAM J. Control. Optim..
[13] Frederik Boetius,et al. Bounded Variation Singular Stochastic Control and Dynkin Game , 2005, SIAM J. Control. Optim..
[14] S. Jacka. Optimal Stopping and the American Put , 1991 .
[15] Jacques Printems,et al. Absolute continuity for some one-dimensional processes , 2008, 0804.3037.
[16] J. K. Hunter,et al. Measure Theory , 2007 .
[17] Tiziano De Angelis,et al. A Note on the Continuity of Free-Boundaries in Finite-Horizon Optimal Stopping Problems for One-Dimensional Diffusions , 2013, SIAM J. Control. Optim..
[18] Stefano De Marco,et al. Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions , 2011 .
[19] N. Karoui,et al. A stochastic representation theorem with applications to optimization and obstacle problems , 2004 .
[20] Frank Riedel,et al. On Irreversible Investment , 2006 .
[21] S. Shreve,et al. Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems , 1984 .
[22] Herman Chernoff,et al. Sequential decisions in the control of a spaceship , 1967 .
[23] G. Peskir,et al. A Change-of-Variable Formula with Local Time on Surfaces , 2004 .
[24] H. Brezis. Functional Analysis, Sobolev Spaces and Partial Differential Equations , 2010 .
[25] Steven E. Shreve,et al. A free boundary problem related to singular stochastic control , 1990 .
[26] H. Pham,et al. Optimal Partially Reversible Investment with Entry Decision and General Production Function , 2005 .
[27] L. Evans. Measure theory and fine properties of functions , 1992 .
[28] Goran Peskir,et al. A Change-of-Variable Formula with Local Time on Curves , 2005 .
[29] P. Mandl. Analytical treatment of one-dimensional Markov processes , 1968 .
[30] Kristin Reikvam,et al. A Connection between Singular Stochastic Control and Optimal Stopping , 2004 .
[31] Huyên Pham,et al. Characterization of the Optimal Boundaries in Reversible Investment Problems , 2012, SIAM J. Control. Optim..
[32] Alʹbert Nikolaevich Shiri︠a︡ev,et al. Optimal Stopping and Free-Boundary Problems , 2006 .
[33] Giorgio Ferrari,et al. A Stochastic Partially Reversible Investment Problem on a Finite Time-Horizon: Free-Boundary Analysis , 2013, 1303.6189.
[34] W. Hackbusch. Integral Equations: Theory and Numerical Treatment , 1995 .
[35] Felix E. Browder,et al. The One-Dimensional Heat Equation: Preface , 1984 .
[36] D. Nualart. The Malliavin Calculus and Related Topics , 1995 .
[37] H. Soner,et al. A free boundary problem related to singular stochastic control: the parabolic case , 1991 .
[38] Ioannis Karatzas,et al. Brownian Motion and Stochastic Calculus , 1987 .
[39] A. Borodin,et al. Handbook of Brownian Motion - Facts and Formulae (Second Edition) , 2003 .
[40] Ulrich G. Haussmann,et al. On a Stochastic, Irreversible Investment Problem , 2009, SIAM J. Control. Optim..
[41] Ioannis Karatzas,et al. Irreversible investment and industry equilibrium , 1996, Finance Stochastics.
[42] M. Kohlmann,et al. Connections between optimal stopping and singular stochastic control , 1998 .
[43] R. Taylor,et al. The Numerical Treatment of Integral Equations , 1978 .
[44] L. Delves,et al. Computational methods for integral equations: Frontmatter , 1985 .
[45] A. Friedman. Variational principles and free-boundary problems , 1982 .
[46] P. Bassanini,et al. Elliptic Partial Differential Equations of Second Order , 1997 .
[47] L. Rogers,et al. Diffusions, Markov processes, and martingales , 1979 .
[48] Giorgio Ferrari,et al. On an integral equation for the free-boundary of stochastic, irreversible investment problems , 2012, 1211.0412.
[49] Hyunjoong Kim,et al. Functional Analysis I , 2017 .
[50] A. Borodin,et al. Handbook of Brownian Motion - Facts and Formulae , 1996 .
[51] N. Krylov. Controlled Diffusion Processes , 1980 .
[52] Kendall E. Atkinson,et al. A Survey of Numerical Methods for Solving Nonlinear Integral Equations , 1992 .
[53] Ulrich G. Haussmann,et al. Explicit Solution of a Stochastic, Irreversible Investment Problem and Its Moving Threshold , 2005, Math. Oper. Res..