TY  - GEN
AB  - In this paper we provide a complete theoretical analysis of a two-dimensional
degenerate non convex singular stochastic control problem. The optimisation is motivated by a
storage-consumption model in an electricity market, and features a stochastic real-valued spot
price modelled by Brownian motion. We find analytical expressions for the value function, the
optimal control and the boundaries of the action and inaction regions. The optimal policy is
characterised in terms of two monotone and discontinuous repelling free boundaries, although
part of one boundary is constant and and the smooth fit condition holds there.
DA  - 2014
KW  - finite-fuel singular stochastic control
KW  - optimal stopping
KW  - free boundary
KW  - Hamilton- Jacobi-Bellmann equation
KW  - irreversible investment
KW  - electricity market.
LA  - eng
PY  - 2014
SN  - 0931-6558
SP  - 28-
TI  - A solvable two-dimensional degenerate singular stochastic control problem with non convex costs
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-29016871
Y2  - 2024-11-22T11:11:55
ER  -