6 Treffer für Schlagwort = "singular stochastic control"
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A non convex singular stochastic control problem and its related optimal stopping boundaries
de Angelis, Tiziano ; Ferrari, Giorgio ; Moriarty, John
2014
On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment
de Angelis, Tiziano ; Federico, Salvatore ; Ferrari, Giorgio
2014
Optimal entry to an irreversible investment plan with non convex costs
de Angelis, Tiziano ; Ferrari, Giorgio ; Martyr, Randall ; Moriarty, John
2016
A solvable two-dimensional degenerate singular stochastic control problem with non convex costs
de Angelis, Tiziano ; Ferrari, Giorgio ; Moriarty, John
2014
A solvable two-dimensional singular stochastic control problem with non convex costs
de Angelis, Tiziano ; Ferrari, Giorgio ; Moriarty, John
2016
A Stochastic Reversible Investment Problem on a Finite-Time Horizon: Free Boundary Analysis
de Angelis, Tiziano ; Ferrari, Giorgio
2013