A solvable two-dimensional degenerate singular stochastic control problem with non convex costs
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- Tiziano De Angelis & Giorgio Ferrari & John Moriarty, 2014.
"A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries,"
Papers
1405.2442, arXiv.org, revised Nov 2014.
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Keywords
finite-fuel singular stochastic control; optimal stopping; free boundary; Hamilton- Jacobi-Bellmann equation; irreversible investment; electricity market.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ENE-2014-12-24 (Energy Economics)
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