---
res:
bibo_abstract:
- "We derive a new equation for the optimal investment boundary of a general\r\nirreversible
investment problem under exponential Lévy uncertainty. The problem is set as an\r\ninfinite
time-horizon, two-dimensional degenerate singular stochastic control problem.
In line\r\nwith the results recently obtained in a diffusive setting, we show
that the optimal boundary is intimately\r\nlinked to the unique optional solution
of an appropriate Bank-El Karoui representation\r\nproblem. Such a relation and
the Wiener-Hopf factorization allow us to derive an integral equation\r\nfor the
optimal investment boundary. In case the underlying Lévy process hits any point\r\nin
R with positive probability we show that the integral equation for the investment
boundary\r\nis uniquely satisfied by the unique solution of another equation which
is easier to handle. As a\r\nremarkable by-product we prove the continuity of
the optimal investment boundary. The paper\r\nis concluded with explicit results
for profit functions of (i) Cobb-Douglas type and (ii) CES type.\r\nIn the first
case the function is separable and in the second case non-separable.@eng"
bibo_authorlist:
- foaf_Person:
foaf_givenName: Giorgio
foaf_name: Ferrari, Giorgio
foaf_surname: Ferrari
foaf_workInfoHomepage: http://www.librecat.org/personId=32701753
- foaf_Person:
foaf_givenName: Paavo
foaf_name: Salminen, Paavo
foaf_surname: Salminen
bibo_volume: 530
dct_date: 2014^xs_gYear
dct_isPartOf:
- http://id.crossref.org/issn/0931-6558
dct_language: eng
dct_publisher: Center for Mathematical Economics@
dct_subject:
- free-boundary
- irreversible investment
- singular stochastic control
- optimal stopping
- Lévy process
- Bank and El Karoui's representation theorem
- base capacity
dct_title: 'Irreversible Investment under Lévy Uncertainty: an Equation for the
Optimal Boundary@'
...