[{"file":[{"date_updated":"2019-09-06T09:18:36Z","access_level":"open_access","content_type":"application/x-download","relation":"main_file","date_created":"2016-03-16T10:03:16Z","file_id":"2901686","file_name":"IMW_working_paper_530.pdf","file_size":"376849","creator":"weingarten"}],"locked":"1","keyword":[],"citation":{"wels":"Ferrari, G.; Salminen, P. (2014): Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary. Bielefeld: Center for Mathematical Economics.","dgps":"Ferrari, G. & Salminen, P. (2014). *Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary* (Center for Mathematical Economics Working Papers). Bielefeld: Center for Mathematical Economics.

","angewandte-chemie":"G. Ferrari, and P. Salminen, *Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary*, Center For Mathematical Economics, Bielefeld, **2014**.","apa":"Ferrari, G., & Salminen, P. (2014). *Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary* (Center for Mathematical Economics Working Papers, 530). Bielefeld: Center for Mathematical Economics.","frontiers":"Ferrari, G., and Salminen, P. (2014). Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary. *Center for Mathematical Economics Working Papers*, 530, Bielefeld: Center for Mathematical Economics.","apa_indent":"Ferrari, G., & Salminen, P. (2014). *Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary* (Center for Mathematical Economics Working Papers, 530). Bielefeld: Center for Mathematical Economics.

","bio1":"Ferrari G, Salminen P (2014)

*Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary*. Center for Mathematical Economics Working Papers; 530.

Bielefeld: Center for Mathematical Economics.","lncs":" Ferrari, G., Salminen, P.: Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary. Center for Mathematical Economics Working Papers, 530. Center for Mathematical Economics, Bielefeld (2014).","mla":"Ferrari, Giorgio, and Salminen, Paavo. *Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary*. Bielefeld: Center for Mathematical Economics, 2014. Center for Mathematical Economics Working Papers. 530.","aps":" G. Ferrari and P. Salminen, Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary, Center for Mathematical Economics Working Papers (Center for Mathematical Economics, Bielefeld, 2014).","ieee":" G. Ferrari and P. Salminen, *Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary*, Center for Mathematical Economics Working Papers, vol. 530, Bielefeld: Center for Mathematical Economics, 2014.","chicago":"Ferrari, Giorgio, and Salminen, Paavo. 2014. *Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary*. Vol. 530. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.

","harvard1":"Ferrari, G., & Salminen, P., 2014. *Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary*, Center for Mathematical Economics Working Papers, no.530, Bielefeld: Center for Mathematical Economics.","default":"Ferrari G, Salminen P (2014) Center for Mathematical Economics Working Papers; 530.

Bielefeld: Center for Mathematical Economics."},"status":"public","department":[{"_id":"10053","tree":[{"_id":"10053"}]}],"volume":530,"jel":["C02","E22","D92","G31"],"urn":"urn:nbn:de:0070-pub-29016857","creator":{"id":"89573","login":"weingarten"},"has_accepted_license":"1","dini_type":"doc-type:workingPaper","dc":{"relation":["info:eu-repo/semantics/altIdentifier/issn/0931-6558"],"identifier":["https://pub.uni-bielefeld.de/record/2901685","https://pub.uni-bielefeld.de/download/2901685/2901686"],"source":["Ferrari G, Salminen P. *Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary*. Center for Mathematical Economics Working Papers. Vol 530. Bielefeld: Center for Mathematical Economics; 2014."],"publisher":["Center for Mathematical Economics"],"description":["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."],"type":["info:eu-repo/semantics/workingPaper","doc-type:workingPaper","text"],"subject":["free-boundary","irreversible investment","singular stochastic control","optimal stopping","Lévy process","Bank and El Karoui's representation theorem","base capacity","ddc:330"],"title":["Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary"],"language":["eng"],"date":["2014"],"creator":["Ferrari, Giorgio","Salminen, Paavo"],"rights":["info:eu-repo/semantics/openAccess"]},"language":[{}],"publication_identifier":{"issn":[]},"series_title":"Center for Mathematical Economics Working Papers","place":"Bielefeld","publication_status":"published","intvolume":" 530","date_created":"2016-03-16T10:07:38Z","date_updated":"2018-07-24T13:00:59Z","author":[{"id":"32701753","full_name":"Ferrari, Giorgio","last_name":"Ferrari","first_name":"Giorgio"},{"first_name":"Paavo","last_name":"Salminen","full_name":"Salminen, Paavo"}],"file_date_updated":"2019-09-06T09:18:36Z","_id":"2901685","uri_base":"https://pub.uni-bielefeld.de","type":"working_paper","abstract":[{"lang":"eng"}],"ddc":[],"page":"20","oa":1}]