Optimal entry to an irreversible investment plan with non convex costs

Autor: Tiziano De Angelis, Randall Martyr, Giorgio Ferrari, John Moriarty
Jazyk: angličtina
Rok vydání: 2017
Předmět:
Statistics and Probability
Q41
0209 industrial biotechnology
Spot contract
Ornstein–Uhlenbeck price process
Control (management)
Control variable
Boundary (topology)
Continuous-time inventory
02 engineering and technology
01 natural sciences
D92
010104 statistics & probability
020901 industrial engineering & automation
singular stochastic control
FOS: Mathematics
ddc:330
Economics
Optimal stopping
Singular stochastic control
Ornstein-Uhlenbeck price process
0101 mathematics
Mathematics - Optimization and Control
continuous-time inventory
Mathematical finance
Probability (math.PR)
Irreversible investment
Function (mathematics)
Investment (macroeconomics)
Purchasing
C61
optimal stopping
Optimization and Control (math.OC)
E22
irreversible investment
Statistics
Probability and Uncertainty
Mathematical economics
Mathematics - Probability
Finance
ISSN: 1862-9679
Popis: 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.
30 pages, 3 figures
Databáze: OpenAIRE
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