scholarly journals Identifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank--El Karoui Representation Theorem

2014 ◽  
Vol 52 (2) ◽  
pp. 1048-1070 ◽  
Author(s):  
Maria B. Chiarolla ◽  
Giorgio Ferrari
Keyword(s):  
Free Boundary ◽  
Representation Theorem ◽  
Irreversible Investment ◽  
Investment Problem

scholarly journals An Integral Equation Approach to the Irreversible Investment Problem with a Finite Horizon

Mathematics ◽  
2020 ◽  
Vol 8 (11) ◽  
pp. 2084
Author(s):  
Junkee Jeon ◽  
Geonwoo Kim
Keyword(s):  
Integral Equation ◽  
Free Boundary ◽  
Production Capacity ◽  
Finite Horizon ◽  
Irreversible Investment ◽  
Investment Problem ◽  
Integral Equation Approach ◽  
Increase Productivity ◽  
Hamilton Jacobi Bellman ◽  
Irreversible Investments

This paper studies an irreversible investment problem under a finite horizon. The firm expands its production capacity in irreversible investments by purchasing capital to increase productivity. This problem is a singular stochastic control problem and its associated Hamilton–Jacobi–Bellman equation is derived. By using a Mellin transform, we obtain the integral equation satisfied by the free boundary of this investment problem. Furthermore, we solve the integral equation numerically using the recursive integration method and present the graph for the free boundary.

An Irreversible Investment Problem with Maintenance Expenditure

2012 ◽  
Vol 50 (3) ◽  
pp. 1244-1264 ◽  
Author(s):  
Kazuhito Kawaguchi ◽  
Hiroaki Morimoto
Keyword(s):  
Irreversible Investment ◽  
Investment Problem

scholarly journals On a Stochastic, Irreversible Investment Problem

2009 ◽  
Vol 48 (2) ◽  
pp. 438-462 ◽  
Author(s):  
Maria B. Chiarolla ◽  
Ulrich G. Haussmann
Keyword(s):  
Irreversible Investment ◽  
Investment Problem
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