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q-fin.PM2014
Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary
Giorgio Ferrari, Paavo Salminen
We derive a new equation for the optimal investment boundary of a general irreversible investment problem under exponential Lévy uncertainty. The problem is set as an infinite time…
q-fin.PM2012★ 26 cited
On an integral equation for the free-boundary of stochastic, irreversible investment problems
Giorgio Ferrari
In this paper, we derive a new handy integral equation for the free-boundary of infinite time horizon, continuous time, stochastic, irreversible investment problems with uncertaint…