TY  - GEN
AB  - We show that the equivalence between certain problems of singular stochastic
control (SSC) and related questions of optimal stopping known for convex performance criteria
(see, for example, Karatzas and Shreve (1984)) continues to hold in a non convex problem
provided a related discretionary stopping time is introduced. Our problem is one of storage
and consumption for electricity, a partially storable commodity with both positive and negative
prices in some markets, and has similarities to the finite fuel monotone follower problem. In
particular we consider a non convex infinite time horizon SSC problem whose state consists of an
uncontrolled diffusion representing a real-valued commodity price, and a controlled increasing
bounded process representing an inventory. We analyse the geometry of the action and inaction
regions by characterising the related optimal stopping boundaries.
DA  - 2014
KW  - finite-fuel singular stochastic control
KW  - optimal stopping
KW  - free-boundary
KW  - smooth- fit
KW  - Hamilton-Jacobi-Bellman equation
KW  - irreversible investment
LA  - eng
PY  - 2014
SN  - 0931-6558
SP  - 25-
TI  - A non convex singular stochastic control problem and its related optimal stopping boundaries
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-29015289
Y2  - 2024-11-22T03:02:25
ER  -