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- W4300340749 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.
- W4300340749 created "2022-10-03" @default.
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- W4300340749 date "2013-03-25" @default.
- W4300340749 modified "2023-10-09" @default.
- W4300340749 title "A Stochastic Partially Reversible Investment Problem on a Finite Time-Horizon: Free-Boundary Analysis" @default.
- W4300340749 doi "https://doi.org/10.48550/arxiv.1303.6189" @default.
- W4300340749 hasPublicationYear "2013" @default.
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