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math.OC2013
A note on the continuity of free-boundaries in finite-horizon optimal stopping problems for one dimensional diffusions
Tiziano De Angelis
We provide sufficient conditions for the continuity of the free-boundary in a general class of finite-horizon optimal stopping problems arising for instance in finance and economic…
math.OC2013
A Stochastic Partially Reversible Investment Problem on a Finite Time-Horizon: Free-Boundary Analysis
Tiziano De Angelis, Giorgio Ferrari
We study a continuous-time, finite horizon, stochastic partially reversible investment problem for a firm producing a single good in a market with frictions. The production capacit…