[{"abstract":[{"lang":"eng"}],"publication":"ADVANCES IN APPLIED PROBABILITY","page":"298-314","external_id":{"isi":[]},"_id":"2906562","type":"journal_article","uri_base":"https://pub.uni-bielefeld.de","status":"public","document_type":"journalArticle","date_updated":"2018-07-24T13:01:35Z","article_type":"original","publication_identifier":{"eissn":[],"issn":[]},"dini_type":"doc-type:article","date_created":"2016-11-02T09:58:25Z","department":[{"tree":[{"_id":"10053"}],"_id":"10053"}],"quality_controlled":"1","keyword":[],"isi":1,"language":[{}],"first_author":"Ferrari, Giorgio","publication_status":"published","dc":{"language":["eng"],"date":["2016"],"rights":["info:eu-repo/semantics/closedAccess"],"identifier":["https://pub.uni-bielefeld.de/record/2906562"],"type":["info:eu-repo/semantics/article","doc-type:article","text"],"subject":["Free-boundary","irreversible investment","singular stochastic control","optimal stopping","Levy process","Bank and El Karoui's representation","theorem","base capacity"],"source":["Ferrari G, Salminen P. IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY. *ADVANCES IN APPLIED PROBABILITY*. 2016;48(1):298-314."],"description":["We derive a new equation for the optimal investment boundary of a general irreversible investment problem under exponential Levy uncertainty. The problem is set as an infinite time-horizon, two-dimensional degenerate singular stochastic control problem. In line with the results recently obtained in a diffusive setting, we show that the optimal boundary is intimately linked to the unique optional solution of an appropriate Bank-El Karoui representation problem. Such a relation and the Wiener-Hopf factorization allow us to derive an integral equation for the optimal investment boundary. In case the underlying Levy process hits any point in R with positive probability we show that the integral equation for the investment boundary is uniquely satisfied by the unique solution of another equation which is easier to handle. As a remarkable by-product we prove the continuity of the optimal investment boundary. The paper is concluded with explicit results for profit functions of Cobb-Douglas type and CES type. In the former case the function is separable and in the latter case nonseparable."],"relation":["info:eu-repo/semantics/altIdentifier/doi/10.1017/apr.2015.18","info:eu-repo/semantics/altIdentifier/issn/0001-8678","info:eu-repo/semantics/altIdentifier/issn/1475-6064","info:eu-repo/semantics/altIdentifier/wos/000384819200016"],"publisher":["Applied Probability Trust"],"creator":["Ferrari, Giorgio","Salminen, Paavo"],"title":["IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY"]},"intvolume":" 48","citation":{"frontiers":"Ferrari, G., and Salminen, P. (2016). IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY. *ADVANCES IN APPLIED PROBABILITY* 48, 298-314.","ieee":" G. Ferrari and P. Salminen, “IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY”, *ADVANCES IN APPLIED PROBABILITY*, vol. 48, 2016, pp. 298-314.","angewandte-chemie":"G. Ferrari, and P. Salminen, “IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY”, *ADVANCES IN APPLIED PROBABILITY*, **2016**, *48*, 298-314.","harvard1":"Ferrari, G., & Salminen, P., 2016. IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY. *ADVANCES IN APPLIED PROBABILITY*, 48(1), p 298-314.","lncs":" Ferrari, G., Salminen, P.: IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY. ADVANCES IN APPLIED PROBABILITY. 48, 298-314 (2016).","wels":"Ferrari, G.; Salminen, P. (2016): IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY *ADVANCES IN APPLIED PROBABILITY*,48:(1): 298-314.","bio1":"Ferrari G, Salminen P (2016)

IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY.

ADVANCES IN APPLIED PROBABILITY 48(1): 298-314.","default":"Ferrari G, Salminen P (2016)

*ADVANCES IN APPLIED PROBABILITY* 48(1): 298-314.","dgps":"Ferrari, G. & Salminen, P. (2016). IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY. *ADVANCES IN APPLIED PROBABILITY*, *48*(1), 298-314. Applied Probability Trust.

","mla":"Ferrari, Giorgio, and Salminen, Paavo. “IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY”. *ADVANCES IN APPLIED PROBABILITY* 48.1 (2016): 298-314.","apa_indent":"Ferrari, G., & Salminen, P. (2016). IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY. *ADVANCES IN APPLIED PROBABILITY*, *48*(1), 298-314.

","apa":"Ferrari, G., & Salminen, P. (2016). IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY. *ADVANCES IN APPLIED PROBABILITY*, *48*(1), 298-314.","chicago":"Ferrari, Giorgio, and Salminen, Paavo. 2016. “IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY”. *ADVANCES IN APPLIED PROBABILITY* 48 (1): 298-314.

","aps":" G. Ferrari and P. Salminen, IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY, ADVANCES IN APPLIED PROBABILITY **48**, 298 (2016)."},"issue":"1","volume":"48","author":[{"id":"32701753","first_name":"Giorgio","full_name":"Ferrari, Giorgio","last_name":"Ferrari"},{"full_name":"Salminen, Paavo","first_name":"Paavo","last_name":"Salminen"}],"message":"WoS Import 2016-11-02","edit_mode":"expert","creator":{"login":"PUB_WoS_Import"}}]