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
 
Download
OA 540.29 KB
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.
Alle Dateien verfügbar unter der/den folgenden Lizenz(en):
Copyright Statement:
Dieses Objekt ist durch das Urheberrecht und/oder verwandte Schutzrechte geschützt. [...]
Volltext(e)
Access Level
OA Open Access
Zuletzt Hochgeladen
2019-09-06T09:18:39Z
MD5 Prüfsumme
e6d8126acba6c831ceb9ae8cd7768524


Export

Markieren/ Markierung löschen
Markierte Publikationen

Open Data PUB

Suchen in

Google Scholar