Arbeitspapier
A solvable two-dimensional degenerate singular stochastic control problem with non convex costs
In this paper we provide a complete theoretical analysis of a two-dimensional degenerate non convex singular stochastic control problem. The optimisation is motivated by a storage-consumption model in an electricity market, and features a stochastic real-valued spot price modelled by Brownian motion. We find analytical expressions for the value function, the optimal control and the boundaries of the action and inaction regions. The optimal policy is characterised in terms of two monotone and discontinuous repelling free boundaries, although part of one boundary is constant and and the smooth fit condition holds there.
- Sprache
-
Englisch
- Erschienen in
-
Series: Center for Mathematical Economics Working Papers ; No. 531
- Klassifikation
-
Wirtschaft
- Thema
-
finite-fuel singular stochastic control
optimal stopping
free boundary
Hamilton-Jacobi-Bellmann equation
irreversible investment
electricity market
- Ereignis
-
Geistige Schöpfung
- (wer)
-
De Angelis, Tiziano
Ferrari, Giorgio
Moriarty, John
- Ereignis
-
Veröffentlichung
- (wer)
-
Bielefeld University, Center for Mathematical Economics (IMW)
- (wo)
-
Bielefeld
- (wann)
-
2014
- DOI
-
doi:10.2139/ssrn.2533999
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- De Angelis, Tiziano
- Ferrari, Giorgio
- Moriarty, John
- Bielefeld University, Center for Mathematical Economics (IMW)
Entstanden
- 2014
Ähnliche Objekte (12)
A solvable two-dimensional degenerate singular stochastic control problem with non convex costs
A solvable two-dimensional singular stochastic control problem with non convex costs
A solvable two-dimensional singular stochastic control problem with non convex costs
Exactly Solvable Anharmonic Oscillator, Degenerate Orthogonal Polynomials and Painlevé II
Ergodicity for Singular-Degenerate Stochastic Porous Media Equations
Stopper vs. Singular Controller Games With Degenerate Diffusions
Stabilised finite element approximation for degenerate convex minimisation problems
Stabilised finite element approximation for degenerate convex minimisation problems
Two-dimensional product-type system of difference equations solvable in closed form
Schauder estimates for parabolic equations with degenerate or singular weights
Creating degenerate two-dimensional Bose gases with tunable interaction strength
Topics in quasilinear degenerate and singular parabolic equations : Rudolf-Lipschitz-Vorlesung
A solvable two-dimensional degenerate singular stochastic control problem with non convex costs
A solvable two-dimensional singular stochastic control problem with non convex costs
A solvable two-dimensional singular stochastic control problem with non convex costs
Exactly Solvable Anharmonic Oscillator, Degenerate Orthogonal Polynomials and Painlevé II
Ergodicity for Singular-Degenerate Stochastic Porous Media Equations
Stopper vs. Singular Controller Games With Degenerate Diffusions
Stabilised finite element approximation for degenerate convex minimisation problems
Stabilised finite element approximation for degenerate convex minimisation problems
Two-dimensional product-type system of difference equations solvable in closed form
Schauder estimates for parabolic equations with degenerate or singular weights
Creating degenerate two-dimensional Bose gases with tunable interaction strength
Topics in quasilinear degenerate and singular parabolic equations : Rudolf-Lipschitz-Vorlesung
A solvable two-dimensional degenerate singular stochastic control problem with non convex costs
A solvable two-dimensional singular stochastic control problem with non convex costs
A solvable two-dimensional singular stochastic control problem with non convex costs
Exactly Solvable Anharmonic Oscillator, Degenerate Orthogonal Polynomials and Painlevé II
Ergodicity for Singular-Degenerate Stochastic Porous Media Equations
Stopper vs. Singular Controller Games With Degenerate Diffusions
Stabilised finite element approximation for degenerate convex minimisation problems
Stabilised finite element approximation for degenerate convex minimisation problems
Two-dimensional product-type system of difference equations solvable in closed form
Schauder estimates for parabolic equations with degenerate or singular weights
Creating degenerate two-dimensional Bose gases with tunable interaction strength