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ArticleIrreversible investment problems

Anders Øksendal2000

OA

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Irreversible investment problems

Anders Øksendal

53 citations·0/0 files stored·Finance and Stochastics

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Capital Investment and Risk Analysis Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1994Investment Under Uncertainty.2005Stochastic Integration and Differential Equations 2003Stochastic Differential Equations 1993A Class of Solvable Stochastic Investment Problems Involving Singular Controls

Cited by

2012Optimal Stopping with Information Constraint 2018Sequential Capacity Expansion Options 2014Identifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank--El Karoui Representation Theorem 2005Optimal Switching with Applications to Energy Tolling Agreements 2014On an integral equation for the free-boundary of stochastic, irreversible investment problems 2005Explicit Solution of a Stochastic, Irreversible Investment Problem and Its Moving Threshold 2014Characterization of the Optimal Boundaries in Reversible Investment Problems 2009On a Stochastic, Irreversible Investment Problem

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Year2000

Typearticle

Published2000-02-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations53

Files0 public / 0

ShelfCapital Investment and Risk Analysis

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doi10.1007/s007800050013

openalex_workW2156374236

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