A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis.

De Angelis, T and Ferrari, G (2014) A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis. Stochastic Processes and their Applications, 124. pp. 4080-4119. ISSN 0304-4149

Abstract

Metadata

Authors/Creators:
  • De Angelis, T
  • Ferrari, G
Copyright, Publisher and Additional Information: © 2014 Elsevier B.V. This is an author produced version of a paper published in Stochastic Processes and their Applications. Uploaded in accordance with the publisher's self-archiving policy
Keywords: The dividend problem; singular control; optimal stopping
Dates:
  • Published: December 2014
  • Accepted: 4 July 2014
  • Published (online): 17 July 2014
Institution: The University of Leeds
Academic Units: The University of Leeds > Faculty of Maths and Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds)
Depositing User: Symplectic Publications
Date Deposited: 05 Jun 2017 10:27
Last Modified: 25 Jan 2018 21:02
Status: Published
Publisher: Elsevier
Identification Number: https://doi.org/10.1016/j.spa.2014.07.008

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