TY  - GEN
AB  - We study a continuous-time, finite horizon optimal stochastic reversible investment problem for a firm producing a single good. The production capacity is modeled as a onedimensional,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.
DA  - 2013
KW  - zero-sum optimal stoppinggames
KW  - reversible investment
KW  - free boundary problems
KW  - singular stochastic control
KW  - Skorokhod reflection problem.
LA  - eng
PY  - 2013
SN  - 0931-6558
SP  - 42-
TI  - A Stochastic Reversible Investment Problem on a Finite-Time Horizon: Free Boundary Analysis
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-26740839
Y2  - 2024-11-22T14:38:39
ER  -