Optimal entry to an irreversible investment plan with non convex costs
de Angelis T, Ferrari G, Martyr R, Moriarty J (2016) Center for Mathematical Economics Working Papers; 566.
Bielefeld: Center for Mathematical Economics.
Diskussionspapier
| Veröffentlicht | Englisch
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IMW_working_paper_566.pdf
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Autor*in
de Angelis, Tiziano;
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.
Stichworte
continuous-time inventory;
optimal stopping;
singular stochastic control;
irreversible investment;
Ornstein-Uhlenbeck price process
Erscheinungsjahr
2016
Serientitel
Center for Mathematical Economics Working Papers
Band
566
Seite(n)
30
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2904756
Zitieren
de Angelis T, Ferrari G, Martyr R, Moriarty J. Optimal entry to an irreversible investment plan with non convex costs . Center for Mathematical Economics Working Papers. Vol 566. Bielefeld: Center for Mathematical Economics; 2016.
de Angelis, T., Ferrari, G., Martyr, R., & Moriarty, J. (2016). Optimal entry to an irreversible investment plan with non convex costs (Center for Mathematical Economics Working Papers, 566). Bielefeld: Center for Mathematical Economics.
de Angelis, Tiziano, Ferrari, Giorgio, Martyr, Randall, and Moriarty, John. 2016. Optimal entry to an irreversible investment plan with non convex costs . Vol. 566. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
de Angelis, T., Ferrari, G., Martyr, R., and Moriarty, J. (2016). Optimal entry to an irreversible investment plan with non convex costs . Center for Mathematical Economics Working Papers, 566, Bielefeld: Center for Mathematical Economics.
de Angelis, T., et al., 2016. Optimal entry to an irreversible investment plan with non convex costs , Center for Mathematical Economics Working Papers, no.566, Bielefeld: Center for Mathematical Economics.
T. de Angelis, et al., Optimal entry to an irreversible investment plan with non convex costs , Center for Mathematical Economics Working Papers, vol. 566, Bielefeld: Center for Mathematical Economics, 2016.
de Angelis, T., Ferrari, G., Martyr, R., Moriarty, J.: Optimal entry to an irreversible investment plan with non convex costs . Center for Mathematical Economics Working Papers, 566. Center for Mathematical Economics, Bielefeld (2016).
de Angelis, Tiziano, Ferrari, Giorgio, Martyr, Randall, and Moriarty, John. Optimal entry to an irreversible investment plan with non convex costs . Bielefeld: Center for Mathematical Economics, 2016. Center for Mathematical Economics Working Papers. 566.
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