A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries
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- de Angelis, Tiziano & Ferrari, Giorgio & Moriarty, John, 2016. "A non convex singular stochastic control problem and its related optimal stopping boundaries," Center for Mathematical Economics Working Papers 508, Center for Mathematical Economics, Bielefeld University.
References listed on IDEAS
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Cited by:
- 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.
- Ferrari, Giorgio & Yang, Shuzhen, 2016. "On an optimal extraction problem with regime switching," Center for Mathematical Economics Working Papers 562, Center for Mathematical Economics, Bielefeld University.
- de Angelis, Tiziano & Ferrari, Giorgio & Martyr, Randall & Moriarty, John, 2016. "Optimal entry to an irreversible investment plan with non convex costs," Center for Mathematical Economics Working Papers 566, Center for Mathematical Economics, Bielefeld University.
- Giorgio Ferrari & Shuzhen Yang, 2016. "On an Optimal Extraction Problem with Regime Switching," Papers 1602.06765, arXiv.org, revised Dec 2017.
- de Angelis, Tiziano & Ferrari, Giorgio & Moriarty, John, 2016. "A solvable two-dimensional degenerate singular stochastic control problem with non convex costs," Center for Mathematical Economics Working Papers 531, Center for Mathematical Economics, Bielefeld University.
- de Angelis, Tiziano & Ferrari, Giorgio & Moriarty, John, 2016. "A solvable two-dimensional singular stochastic control problem with non convex costs," Center for Mathematical Economics Working Papers 561, 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.
- Tiziano De Angelis & Erik Ekstrom, 2016. "The dividend problem with a finite horizon," Papers 1609.01655, arXiv.org, revised Nov 2017.
- 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.
- Tiziano De Angelis & Giorgio Ferrari & John Moriarty, 2019. "A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs," Mathematics of Operations Research, INFORMS, vol. 44(2), pages 512-531, May.
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More about this item
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
- D92 - Microeconomics - - Micro-Based Behavioral Economics - - - Intertemporal Firm Choice, Investment, Capacity, and Financing
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