---
res:
bibo_abstract:
- In this paper, we derive a new handy integral equation for the freeboundary of
infinite time horizon, continuous time, stochastic, irreversible investment problems
with uncertainty modeled as a one-dimensional, regular diffusion X. The new integral
equation allows to explicitly find the freeboundary b(.) in some so far unsolved
cases, as when the operating profit function is not multiplicatively separable
and X is a three-dimensional Bessel process or a CEV process. Our result follows
from purely probabilistic arguments. Indeed, we first show that b(X (t)) = l*
(t), with l* the unique optional solution of a representation problem in the spirit
of Bank El Karoui [Ann. Probab. 32 (2004) 1030-1067]; then, thanks to such an
identification and the fact that l* uniquely solves a backward stochastic equation,
we find the integral problem for the free-boundary.@eng
bibo_authorlist:
- autoren_ansetzung:
- Ferrari, Giorgio
- Ferrari
- Giorgio Ferrari
- Ferrari, G
- Ferrari, G.
- G Ferrari
- G. Ferrari
foaf_Person:
foaf_givenName: Giorgio
foaf_name: Ferrari, Giorgio
foaf_surname: Ferrari
foaf_workInfoHomepage: http://www.librecat.org/personId=32701753
bibo_doi: 10.1214/13-AAP991
bibo_issue: '1'
bibo_volume: '25'
dct_date: 2015^xs_gYear
dct_identifier:
- UT:000347267400006
dct_isPartOf:
- http://id.crossref.org/issn/1050-5164
dct_language: eng
dct_publisher: Institute Of Mathematical Statistics@
dct_subject:
- and El Karoui's representation theorem
- one-dimensional diffusion
- Bank
- optimal stopping
- stochastic control
- singular
- irreversible investment
- free-boundary
- Integral equation
- base capacity
dct_title: On an integral equation for the free-boundary of stochastic, irreversible
investment problems@
...