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Autoren: 
De Angelis, Tiziano
Ferrari, Giorgio
Martyr, Randall
Moriarty, John
Datum: 
2016
Reihe/Nr.: 
Center for Mathematical Economics Working Papers 566
Zusammenfassung: 
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.
Schlagwörter: 
continuous-time inventory
optimal stopping
singular stochastic control
irreversible investment
Ornstein-Uhlenbeck price process
JEL: 
C61
D92
E22
Q41
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper
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