16 citations · 30 across the 16 of their papers we have counts for
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math.PR2014★ 1 cited
Optimal Boundary Surface for Irreversible Investment with Stochastic Costs
Tiziano De Angelis, Salvatore Federico, Giorgio Ferrari
This paper examines a Markovian model for the optimal irreversible investment problem of a firm aiming at minimizing total expected costs of production. We model market uncertainty…
q-fin.MF2014
Explicit investment rules with time-to-build and uncertainty
René Aid, Salvatore Federico, Huyên Pham +1
We establish explicit socially optimal rules for an irreversible investment deci- sion with time-to-build and uncertainty. Assuming a price sensitive demand function with a random…