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• W136596257 abstract "This paper examines a Markovian model for the optimal irreversible investment problem of a firm aiming at minimizing total expected costs of production. We model market uncertainty and the cost of investment per unit of production capacity as two independent one-dimensional regular diffusions, and we consider a general convex running cost function. The optimization problem is set as a three-dimensional degenerate singular stochastic control problem.We provide the optimal control as the solution of a Skorohod reflection problem at a suitable free-boundary surface. Such boundary arises from the analysis of a family of two-dimensional parameter-dependent optimal stopping problems and it is characterized in terms of the family of unique continuous solutions to parameter-dependent nonlinear integral equations of Fredholm type." @default.
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• W136596257 date "2014-01-01" @default.
• W136596257 modified "2023-09-25" @default.
• W136596257 title "On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment" @default.
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• W136596257 doi "https://doi.org/10.2139/ssrn.2458910" @default.
• W136596257 hasPublicationYear "2014" @default.
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