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most citedIdentifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank-El Karoui Representation Theorem

2 citations · 2 across the 6 of their papers we have counts for

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math.OC2022

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…