[{"type":"working_paper","page":"26","_id":"2904729","oa":1,"dc":{"publisher":["Center for Mathematical Economics"],"creator":["de Angelis, Tiziano","Ferrari, Giorgio","Moriarty, John"],"description":["In this paper we provide a complete theoretical analysis of a two-dimensional\r\ndegenerate non convex singular stochastic control problem. The optimisation is motivated by a\r\nstorage-consumption model in an electricity market, and features a stochastic real-valued spot\r\nprice modelled by Brownian motion. We find analytical expressions for the value function, the\r\noptimal control and the boundaries of the action and inaction regions. The optimal policy is\r\ncharacterised in terms of two monotone and discontinuous repelling free boundaries, although\r\npart of one boundary is constant and the smooth fit condition holds there."],"source":["de Angelis T, Ferrari G, Moriarty J. *A solvable two-dimensional singular stochastic control problem with non convex costs*. Center for Mathematical Economics Working Papers. Vol 561. Bielefeld: Center for Mathematical Economics; 2016."],"title":["A solvable two-dimensional singular stochastic control problem with non convex costs"],"subject":["finite-fuel singular stochastic control","optimal stopping","free boundary","Hamilton- Jacobi-Bellman equation","irreversible investment","electricity market","ddc:510"],"rights":["info:eu-repo/semantics/openAccess"],"identifier":["https://pub.uni-bielefeld.de/record/2904729","https://pub.uni-bielefeld.de/download/2904729/2904730"],"relation":["info:eu-repo/semantics/altIdentifier/issn/0931-6558"],"language":["eng"],"date":["2016"],"type":["info:eu-repo/semantics/workingPaper","doc-type:workingPaper","text"]},"keyword":[],"urn":"urn:nbn:de:0070-pub-29047299","date_created":"2016-07-20T06:49:07Z","message":"MSC 2010 subject classification:\r\n91B70, 93E20, 60G40, 49L20.","intvolume":" 561","language":[{}],"publication_status":"published","author":[{"full_name":"de Angelis, Tiziano","last_name":"de Angelis","first_name":"Tiziano"},{"id":"32701753","first_name":"Giorgio","full_name":"Ferrari, Giorgio","last_name":"Ferrari"},{"first_name":"John","last_name":"Moriarty","full_name":"Moriarty, John"}],"file":[{"relation":"main_file","date_created":"2016-07-20T06:43:08Z","content_type":"application/x-download","date_updated":"2019-09-06T09:18:39Z","file_name":"IMW_working_paper_561.pdf","access_level":"open_access","checksum":"6f1b33db315f550f61f863cfc4513548","creator":"weingarten","file_id":"2904730","file_size":"596861"}],"has_accepted_license":"1","publication_identifier":{"issn":[]},"volume":561,"uri_base":"https://pub.uni-bielefeld.de","series_title":"Center for Mathematical Economics Working Papers","dini_type":"doc-type:workingPaper","department":[{"_id":"10053","tree":[{"_id":"10053"}]}],"ddc":[],"status":"public","citation":{"angewandte-chemie":"T. de Angelis, G. Ferrari, and J. Moriarty, *A solvable two-dimensional singular stochastic control problem with non convex costs*, Center For Mathematical Economics, Bielefeld, **2016**.","chicago":"de Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. 2016. *A solvable two-dimensional singular stochastic control problem with non convex costs*. Vol. 561. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.

","apa_indent":"de Angelis, T., Ferrari, G., & Moriarty, J. (2016). *A solvable two-dimensional singular stochastic control problem with non convex costs* (Center for Mathematical Economics Working Papers, 561). Bielefeld: Center for Mathematical Economics.

","default":"de Angelis T, Ferrari G, Moriarty J (2016) Center for Mathematical Economics Working Papers; 561.

Bielefeld: Center for Mathematical Economics.","apa":"de Angelis, T., Ferrari, G., & Moriarty, J. (2016). *A solvable two-dimensional singular stochastic control problem with non convex costs* (Center for Mathematical Economics Working Papers, 561). Bielefeld: Center for Mathematical Economics.","wels":"de Angelis, T.; Ferrari, G.; Moriarty, J. (2016): A solvable two-dimensional singular stochastic control problem with non convex costs. Bielefeld: Center for Mathematical Economics.","harvard1":"de Angelis, T., Ferrari, G., & Moriarty, J., 2016. *A solvable two-dimensional singular stochastic control problem with non convex costs*, Center for Mathematical Economics Working Papers, no.561, Bielefeld: Center for Mathematical Economics.","bio1":"de Angelis T, Ferrari G, Moriarty J (2016)

*A solvable two-dimensional singular stochastic control problem with non convex costs*. Center for Mathematical Economics Working Papers; 561.

Bielefeld: Center for Mathematical Economics.","mla":"de Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. *A solvable two-dimensional singular stochastic control problem with non convex costs*. Bielefeld: Center for Mathematical Economics, 2016. Center for Mathematical Economics Working Papers. 561.","ieee":" T. de Angelis, G. Ferrari, and J. Moriarty, *A solvable two-dimensional singular stochastic control problem with non convex costs*, Center for Mathematical Economics Working Papers, vol. 561, Bielefeld: Center for Mathematical Economics, 2016.","frontiers":"de Angelis, T., Ferrari, G., and Moriarty, J. (2016). A solvable two-dimensional singular stochastic control problem with non convex costs. *Center for Mathematical Economics Working Papers*, 561, Bielefeld: Center for Mathematical Economics.","dgps":"de Angelis, T., Ferrari, G. & Moriarty, J. (2016). *A solvable two-dimensional singular stochastic control problem with non convex costs* (Center for Mathematical Economics Working Papers). Bielefeld: Center for Mathematical Economics.

","lncs":" de Angelis, T., Ferrari, G., Moriarty, J.: A solvable two-dimensional singular stochastic control problem with non convex costs. Center for Mathematical Economics Working Papers, 561. Center for Mathematical Economics, Bielefeld (2016)."},"date_updated":"2018-07-24T13:00:39Z","abstract":[{"lang":"eng"}],"locked":"1","file_date_updated":"2019-09-06T09:18:39Z","place":"Bielefeld","creator":{"id":"89573","login":"weingarten"}}]