TY  - GEN
AB  - A problem of optimally purchasing electricity at a real-valued spot price (that is, with
potentially negative cost) has been recently addressed in De Angelis, Ferrari and Moriarty
(2015) [SIAM J. Control Optim. 53(3)]. This problem can be considered one of irreversible
investment with a cost functional which is non convex with respect to the control variable.
In this paper we study the optimal entry into this investment plan. The optimal entry policy
can have an irregular boundary arising from this non convexity, with a kinked shape.
DA  - 2016
KW  - continuous-time inventory
KW  - optimal stopping
KW  - singular stochastic control
KW  - irreversible investment
KW  - Ornstein-Uhlenbeck price process
LA  - eng
PY  - 2016
SN  - 0931-6558
SP  - 30-
TI  - Optimal entry to an irreversible investment plan with non convex costs
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-29047569
Y2  - 2024-11-22T12:58:30
ER  -