Arbeitspapier
A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries
We show that the equivalence between certain problems of singular stochastic control (SSC) and related questions of optimal stopping known for convex performance criteria (see, for example, Karatzas and Shreve (1984)) continues to hold in a non convex problem provided a related discretionary stopping time is introduced. Our problem is one of storage and consumption for electricity, a partially storable commodity with both positive and negative prices in some markets, and has similarities to the finite fuel monotone follower problem. In particular we consider a non convex infinite time horizon SSC problem whose state consists of an uncontrolled diffusion representing a real-valued commodity price, and a controlled increasing bounded process representing an inventory. We analyse the geometry of the action and inaction regions by characterising the related optimal stopping boundaries.
- Sprache
-
Englisch
- Erschienen in
-
Series: Center for Mathematical Economics Working Papers ; No. 508
- Klassifikation
-
Wirtschaft
Mathematical Methods
Optimization Techniques; Programming Models; Dynamic Analysis
Investment; Capital; Intangible Capital; Capacity
- Thema
-
finite-fuel singular stochastic control
optimal stopping
free-boundary
smooth-fit
Hamilton-Jacobi-Bellman equation
irreversible investment
- 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.2435375
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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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
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