de Angelis, Tiziano; Ferrari, Giorgio; Martyr, Randall; Moriarty, John: Optimal entry to an irreversible investment plan with non convex costs. In: . Jg.566. 2016, S. 30 ff.

Inhalt

Introduction
Problem Formulation
Decoupling the Problem and Background Material
Timing the Entry Decision

The case <0

Formulation of Auxiliary Optimal Stopping Problems
Solution of the Auxiliary Optimal Stopping Problems
Solution of the Original Optimal Stopping Problem (3.14)

The Case >1

The Optimal Boundaries

Conclusion
Some Proofs from Section 4.1
Some Facts on the Ornstein-Uhlenbeck Process

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