Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/149023
Authors: 
De Angelis, Tiziano
Ferrari, Giorgio
Martyr, Randall
Moriarty, John
Year of Publication: 
2016
Series/Report no.: 
Center for Mathematical Economics Working Papers 566
Abstract: 
A problem of optimally purchasing electricity at a real-valued spot price (that is, with potentially negative cost) has been recently addressed in De Angelis, Ferrari and Moriarty (2015) [SIAM J. Control Optim. 53(3)]. This problem can be considered one of irreversible investment with a cost functional which is non convex with respect to the control variable. In this paper we study the optimal entry into this investment plan. The optimal entry policy can have an irregular boundary arising from this non convexity, with a kinked shape.
Subjects: 
continuous-time inventory
optimal stopping
singular stochastic control
irreversible investment
Ornstein-Uhlenbeck price process
JEL: 
C61
D92
E22
Q41
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
527.63 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.