Optimal Partially Reversible Investment with Entry Decision and General Production Function
Xin Guo,Huyên Pham +1 more
TLDR
In this article, the authors studied the problem of a company that adjusts its stochastic production capacity in reversible investments with controls of expansion and contraction, and provided a complete solution with explicit expressions of the value functions and the optimal controls: the company activates its production once a fixed entry threshold of the capacity is reached, and invests in capital so as to maintain its capacity in a closed bounded interval.About:
This article is published in Stochastic Processes and their Applications.The article was published on 2005-05-01 and is currently open access. It has received 99 citations till now. The article focuses on the topics: Optimal stopping & Stochastic control.read more
Citations
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Controlled diffusion processes
TL;DR: In this article, the authors give an overview of the developments in controlled diffusion processes, emphasizing key results regarding existence of optimal controls and their characterization via dynamic programming for a variety of cost criteria and structural assumptions.
Journal ArticleDOI
A Finite Horizon Optimal Multiple Switching Problem
TL;DR: The problem of optimal multiple switching in a finite horizon when the state of the system is a general adapted stochastic process is considered and it is shown that the associated vector of value functions provides a viscosity solution to a system of variational inequalities with interconnected obstacles.
Journal ArticleDOI
Switching problem and related system of reflected backward SDEs
Said Hamadène,Jianfeng Zhang +1 more
TL;DR: In this paper, a system of backward stochastic differential equations with oblique reflections (RBSDEs) is studied, motivated by the switching problem under Knightian uncertainty and recursive utilities.
Journal ArticleDOI
Controlled diffusion processes
TL;DR: In this article, the authors give an overview of the developments in controlled============diffusion processes, emphasizing key results regarding existence and characterization of optimal controls and their characterization via dynamic======programming for a variety of cost criteria and structural assumptions.
Journal ArticleDOI
Pricing Asset Scheduling Flexibility using Optimal Switching
René Carmona,Michael Ludkovski +1 more
TL;DR: In this paper, a new approach based on a stochastic impulse control framework is proposed for operational flexibility of energy assets, which reduces to a cascade of optimal stopping problems and directly demonstrates that the optimal dispatch policies can be described with the aid of switching boundaries, similar to the free boundaries of standard American options.
References
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Book
Investment Under Uncertainty
Avinash Dixit,Robert S. Pindyck +1 more
TL;DR: In this article, Dixit and Pindyck provide the first detailed exposition of a new theoretical approach to the capital investment decisions of firms, stressing the irreversibility of most investment decisions, and the ongoing uncertainty of the economic environment in which these decisions are made.
Book
Continuous martingales and Brownian motion
Daniel Revuz,Marc Yor +1 more
TL;DR: In this article, the authors present a comprehensive survey of the literature on limit theorems in distribution in function spaces, including Girsanov's Theorem, Bessel Processes, and Ray-Knight Theorem.
Book
Controlled Markov processes and viscosity solutions
Wendell H. Fleming,H. Mete Soner +1 more
TL;DR: In this paper, an introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutions is given, as well as a concise introduction to two-controller, zero-sum differential games.
Book
Stochastic controls : Hamiltonian systems and HJB equations
Jiongmin Yong,Xun Yu Zhou +1 more
TL;DR: In this article, the authors consider the problem of deterministic control problems in the context of stochastic control systems and show that the optimal control problem can be formulated in a deterministic manner.
Book
Stochastic optimal control : the discrete time case
TL;DR: This research monograph is the authoritative and comprehensive treatment of the mathematical foundations of stochastic optimal control of discrete-time systems, including thetreatment of the intricate measure-theoretic issues.