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• W3124311599 abstract "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." @default.
• W3124311599 created "2021-02-01" @default.
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• W3124311599 date "2014-12-01" @default.
• W3124311599 modified "2023-09-29" @default.
• W3124311599 title "A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis" @default.
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• W3124311599 doi "https://doi.org/10.1016/j.spa.2014.07.008" @default.
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