Optimal Entry to an Irreversible Investment Plan with Non Convex Costs
Angelis TD, Ferrari G, Martyr R, Moriarty J (2017)
MATHEMATICS AND FINANCIAL ECONOMICS 11(4): 423-454.
Zeitschriftenaufsatz
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Autor*in
Angelis, Tiziano De;
Ferrari, GiorgioUniBi;
Martyr, Randall;
Moriarty, John
Abstract / Bemerkung
A problem of optimally purchasing electricity at a real-valued spot price
(that is, with potentially negative cost) has been recently addressed in De
Angelis, Ferrari and Moriarty (2015) [SIAM J. Control Optim. 53(3)]. This
problem can be considered one of irreversible investment with a cost functional
which is non convex with respect to the control variable. In this paper we
study the optimal entry into this investment plan. The optimal entry policy can
have an irregular boundary arising from this non convexity, with a kinked
shape.
Erscheinungsjahr
2017
Zeitschriftentitel
MATHEMATICS AND FINANCIAL ECONOMICS
Band
11
Ausgabe
4
Seite(n)
423-454
Urheberrecht / Lizenzen
ISSN
1862-9679
eISSN
1862-9660
Page URI
https://pub.uni-bielefeld.de/record/2901752
Zitieren
Angelis TD, Ferrari G, Martyr R, Moriarty J. Optimal Entry to an Irreversible Investment Plan with Non Convex Costs. MATHEMATICS AND FINANCIAL ECONOMICS. 2017;11(4):423-454.
Angelis, T. D., Ferrari, G., Martyr, R., & Moriarty, J. (2017). Optimal Entry to an Irreversible Investment Plan with Non Convex Costs. MATHEMATICS AND FINANCIAL ECONOMICS, 11(4), 423-454. doi:10.1007/s11579-017-0187-y
Angelis, Tiziano De, Ferrari, Giorgio, Martyr, Randall, and Moriarty, John. 2017. “Optimal Entry to an Irreversible Investment Plan with Non Convex Costs”. MATHEMATICS AND FINANCIAL ECONOMICS 11 (4): 423-454.
Angelis, T. D., Ferrari, G., Martyr, R., and Moriarty, J. (2017). Optimal Entry to an Irreversible Investment Plan with Non Convex Costs. MATHEMATICS AND FINANCIAL ECONOMICS 11, 423-454.
Angelis, T.D., et al., 2017. Optimal Entry to an Irreversible Investment Plan with Non Convex Costs. MATHEMATICS AND FINANCIAL ECONOMICS, 11(4), p 423-454.
T.D. Angelis, et al., “Optimal Entry to an Irreversible Investment Plan with Non Convex Costs”, MATHEMATICS AND FINANCIAL ECONOMICS, vol. 11, 2017, pp. 423-454.
Angelis, T.D., Ferrari, G., Martyr, R., Moriarty, J.: Optimal Entry to an Irreversible Investment Plan with Non Convex Costs. MATHEMATICS AND FINANCIAL ECONOMICS. 11, 423-454 (2017).
Angelis, Tiziano De, Ferrari, Giorgio, Martyr, Randall, and Moriarty, John. “Optimal Entry to an Irreversible Investment Plan with Non Convex Costs”. MATHEMATICS AND FINANCIAL ECONOMICS 11.4 (2017): 423-454.
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