A solvable two-dimensional degenerate singular stochastic control problem with non convex costs

de Angelis T, Ferrari G, Moriarty J (2014) Center for Mathematical Economics Working Papers; 531.
Bielefeld: Center for Mathematical Economics.

Download
OA 631.84 KB
Diskussionspapier | Veröffentlicht | Englisch
Autor
; ;
Abstract / Bemerkung
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.
Erscheinungsjahr
Band
531
Seite
28
ISSN
PUB-ID

Zitieren

de Angelis T, Ferrari G, Moriarty J. A solvable two-dimensional degenerate singular stochastic control problem with non convex costs. Center for Mathematical Economics Working Papers. Vol 531. Bielefeld: Center for Mathematical Economics; 2014.
de Angelis, T., Ferrari, G., & Moriarty, J. (2014). A solvable two-dimensional degenerate singular stochastic control problem with non convex costs (Center for Mathematical Economics Working Papers, 531). Bielefeld: Center for Mathematical Economics.
de Angelis, T., Ferrari, G., and Moriarty, J. (2014). A solvable two-dimensional degenerate singular stochastic control problem with non convex costs. Center for Mathematical Economics Working Papers, 531, Bielefeld: Center for Mathematical Economics.
de Angelis, T., Ferrari, G., & Moriarty, J., 2014. A solvable two-dimensional degenerate singular stochastic control problem with non convex costs, Center for Mathematical Economics Working Papers, no.531, Bielefeld: Center for Mathematical Economics.
T. de Angelis, G. Ferrari, and J. Moriarty, A solvable two-dimensional degenerate singular stochastic control problem with non convex costs, Center for Mathematical Economics Working Papers, vol. 531, Bielefeld: Center for Mathematical Economics, 2014.
de Angelis, T., Ferrari, G., Moriarty, J.: A solvable two-dimensional degenerate singular stochastic control problem with non convex costs. Center for Mathematical Economics Working Papers, 531. Center for Mathematical Economics, Bielefeld (2014).
de Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. A solvable two-dimensional degenerate singular stochastic control problem with non convex costs. Bielefeld: Center for Mathematical Economics, 2014. Center for Mathematical Economics Working Papers. 531.
Alle Dateien verfügbar unter der/den folgenden Lizenz(en):
Copyright Statement:
This Item is protected by copyright and/or related rights. [...]
Volltext(e)
Access Level
OA Open Access
Zuletzt Hochgeladen
2016-03-30T14:18:07Z

Export

Markieren/ Markierung löschen
Markierte Publikationen

Open Data PUB

Suchen in

Google Scholar