A Stochastic Reversible Investment Problem on a Finite-Time Horizon: Free Boundary Analysis
نویسندگان
چکیده
منابع مشابه
A Stochastic Reversible Investment Problem on a Finite-Time Horizon: Free-Boundary Analysis
We study a continuous-time, finite horizon optimal stochastic reversible investment problem for a firm producing a single good. The production capacity is modeled as a onedimensional, time-homogeneous, linear diffusion controlled by a bounded variation process which represents the cumulative investment-disinvestment strategy. We associate to the investmentdisinvestment problem a zero-sum optima...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2289963