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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…
math.OC2012
Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources
Maria B. Chiarolla, Giorgio Ferrari, Frank Riedel
In this paper we study a continuous time, optimal stochastic investment problem under limited resources in a market with N firms. The investment processes are subject to a time-dep…