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Optimal Boundary Surface for Irreversible Investment with Stochastic Costs

Published:2017-11 Issue:4 Volume:42 Page:1135-1161
ISSN:0364-765X
Container-title:Mathematics of Operations Research
language:en
Short-container-title:Mathematics of OR

Author:

De Angelis Tiziano¹,Federico Salvatore²,Ferrari Giorgio³

Affiliation:

1. School of Mathematics, University of Leeds, Leeds LS2 9JT, United Kingdom

2. Dipartimento di Economia Politica e Statistica, Università degli Studi di Siena, 53100 Siena, Italy

3. Center for Mathematical Economics (IMW), Bielefeld University, D-33615 Bielefeld, Germany

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Subject

Management Science and Operations Research,Computer Science Applications,General Mathematics

Link

https://pubsonline.informs.org/doi/pdf/10.1287/moor.2016.0841

Reference48 articles.

1. A Survey of Numerical Methods for Solving Nonlinear Integral Equations

2. Irreversible investment and industry equilibrium

3. Optimal Control under a Dynamic Fuel Constraint

4. A stochastic representation theorem with applications to optimization and obstacle problems

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