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math.OC2012
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…
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…