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

Maria B. Chiarolla, Giorgio Ferrari. Identifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank-El Karoui Representation Theorem. SIAM J. Control and Optimization, 52(2):1048-1070, 2014. [doi]

Authors

Maria B. Chiarolla

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Giorgio Ferrari

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