On an Integral Equation for the Free Boundary of Stochastic, Irreversible Investment Problems
نویسندگان
چکیده
منابع مشابه
On an integral equation for the free boundary of stochastic, irreversible investment problems
In this paper we derive a new handy integral equation for the free boundary of infinite time horizon, continuous time, stochastic, irreversible investment problems with uncertainty modeled as a one-dimensional, regular diffusion X0,x. The new integral equation allows to explicitly find the free boundary b(·) in some so far unsolved cases, as when X0,x is a three-dimensional Bessel process or a ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2172308