Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/81115 
Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
Working Papers No. 477
Verlag: 
Bielefeld University, Institute of Mathematical Economics (IMW), Bielefeld
Zusammenfassung: 
We study a continuous-time, finite horizon optimal stochastic reversible investment problem for a firm producing a single good. The production capacity is modeled as a onedimensional,time-homogeneous, linear diffusion controlled by a bounded variation process which represents the cumulative investment-disinvestment strategy. We associate to the investmentdisinvestment problem a zero-sum optimal stopping game and characterize its value function through a free boundary problem with two moving boundaries. These are continuous, bounded and monotone curves that solve a system of non-linear integral equations of Volterra type. The optimal investment-disinvestment strategy is then shown to be a diff usion reflected at the two boundaries.
Schlagwörter: 
reversible investment
singular stochastic control
zero-sum optimal stopping games
free boundary problems
Skorokhod reflection problem
JEL: 
C02
C73
E22
D92
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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