Irreversible capital accumulation with economic impact

Al Motairi, Hessah and Zervos, Mihail (2016) Irreversible capital accumulation with economic impact. Applied Mathematics & Optimization . ISSN 0095-4616

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Abstract

We consider an irreversible capacity expansion model in which additional investment has a strictly negative effect on the value of an underlying stochastic economic indicator. The associated optimisation problem takes the form of a singular stochastic control problem that admits an explicit solution. A special characteristic of this stochastic control problem is that changes of the state process due to control action depend on the state process itself in a proportional way.

Item Type:	Article
Official URL:	http://link.springer.com/journal/245
Additional Information:	© 2016 The Authors © CC BY 4.0
Library of Congress subject classification:	Q Science > QA Mathematics
Sets:	Departments > Mathematics
Date Deposited:	04 Mar 2016 12:18
URL:	http://eprints.lse.ac.uk/65604/

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