2 citations · 2 across the 6 of their papers we have counts for
5 papers · 1 filter
A unifying view on the irreversible investment exercise boundary in a stochastic, time-inhomogeneous capacity expansion problem
Maria B. Chiarolla
This paper devises a way to apply the Bank and El Karoui Representation Theorem to find the investment boundary of a rich stochastic, continuous time capacity expansion problem wit…
Optimal Dynamic Procurement Policies for a Storable Commodity with Lévy Prices and Convex Holding Costs
Maria B. Chiarolla, Giorgio Ferrari, Gabriele Stabile
In this paper we study a continuous time stochastic inventory model for a commodity traded in the spot market and whose supply purchase is affected by price and demand uncertainty.…
Optimal stopping of a Hilbert space valued diffusion: an infinite dimensional variational inequality
M. B. Chiarolla, T. De Angelis
A finite horizon optimal stopping problem for an infinite dimensional diffusion is analyzed by means of variational techniques. The diffusion is driven by a SDE on a Hilbert sp…
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…
Identifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank-El Karoui Representation Theorem
Maria B. Chiarolla, Giorgio Ferrari
We study a stochastic, continuous time model on a finite horizon for a firm that produces a single good. We model the production capacity as an Ito diffusion controlled by a nondec…