کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1156476 958833 2014 40 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis
ترجمه فارسی عنوان
یک مشکل سرمایه گذاری برگشت پذیر به طور تصادفی در یک افق زمانی محدود: تجزیه و تحلیل مرزی آزاد
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
چکیده انگلیسی

We study a continuous-time, finite horizon, stochastic partially reversible investment problem for a firm producing a single good in a market with frictions. The production capacity is modeled as a one-dimensional, time-homogeneous, linear diffusion controlled by a bounded variation process which represents the cumulative investment–disinvestment strategy. We associate to the investment–disinvestment problem a zero-sum optimal stopping game and characterize its value function through a free-boundary problem with two moving boundaries. These are continuous, bounded and monotone curves that solve a system of non-linear integral equations of Volterra type. The optimal investment–disinvestment strategy is then shown to be a diffusion reflected at the two boundaries.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 124, Issue 12, December 2014, Pages 4080–4119
نویسندگان
, ,