Singular stochastic control in the presence of a state-dependent yield structure
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- Federico, Salvatore & Ferrari, Giorgio & Schuhmann, Patrick, 2019. "A Model for the Optimal Management of Inflation," Center for Mathematical Economics Working Papers 624, Center for Mathematical Economics, Bielefeld University.
- Federico, Salvatore & Ferrari, Giorgio & Riedel, Frank & Röckner, Michael, 2024. "Variational Inequalities and Smooth-Fit Principle for Singular Stochastic Control Problems in Hilbert Spaces," Center for Mathematical Economics Working Papers 692, Center for Mathematical Economics, Bielefeld University.
- Ferrari, Giorgio & Koch, Torben, 2018. "An optimal extraction problem with price impact," Center for Mathematical Economics Working Papers 603, Center for Mathematical Economics, Bielefeld University.
- GAHUNGU, Joachim & SMEERS, Yves, 2011. "A real options model for electricity capacity expansion," LIDAM Discussion Papers CORE 2011044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Joachim Gahungu and Yves Smeers, 2012. "A Real Options Model for Electricity Capacity Expansion," RSCAS Working Papers 2012/08, European University Institute.
- Zhuo Jin & George Yin & Chao Zhu, 2011. "Numerical Solutions of Optimal Risk Control and Dividend Optimization Policies under A Generalized Singular Control Formulation," Papers 1111.2584, arXiv.org.
- Ferrari, Giorgio, 2018. "On a Class of Singular Stochastic Control Problems for Reflected Diffusions," Center for Mathematical Economics Working Papers 592, Center for Mathematical Economics, Bielefeld University.
- Salvatore Federico & Giorgio Ferrari & Patrick Schuhmann, 2019. "A Model for the Optimal Management of Inflation," Department of Economics University of Siena 812, Department of Economics, University of Siena.
- de Angelis, Tiziano & Ferrari, Giorgio, 2016. "Stochastic nonzero-sum games: a new connection between singular control and optimal stopping," Center for Mathematical Economics Working Papers 565, Center for Mathematical Economics, Bielefeld University.
- Pui Chan Lon & Mihail Zervos, 2011. "A Model for Optimally Advertising and Launching a Product," Mathematics of Operations Research, INFORMS, vol. 36(2), pages 363-376, May.
- Giorgio Ferrari & Torben Koch, 2018. "An Optimal Extraction Problem with Price Impact," Papers 1812.01270, arXiv.org.
- Nuno M. Brites, 2022. "Optimal Harvesting of Stochastically Fluctuating Populations Driven by a Generalized Logistic SDE Growth Model," Mathematics, MDPI, vol. 10(17), pages 1-15, August.
- Alvarez E., Luis H.R. & Hening, Alexandru, 2022. "Optimal sustainable harvesting of populations in random environments," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 678-698.
- Ky Q. Tran & Bich T. N. Le & George Yin, 2022. "Harvesting of a Stochastic Population Under a Mixed Regular-Singular Control Formulation," Journal of Optimization Theory and Applications, Springer, vol. 195(3), pages 1106-1132, December.
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Keywords
Singular stochastic control Value function Optimal reflection Green-kernel Linear diffusion;Statistics
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