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Irreversible capital accumulation with economic impact

Al Motairi, Hessah and Zervos, Mihail (2017) Irreversible capital accumulation with economic impact. Applied Mathematics and Optimization, 75 (3). pp. 525-551. ISSN 0095-4616

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Identification Number: 10.1007/s00245-016-9341-9

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
Subjects: Q Science > QA Mathematics
Sets: Departments > Mathematics
Date Deposited: 04 Mar 2016 12:18
Last Modified: 04 Oct 2017 13:19
URI: http://eprints.lse.ac.uk/id/eprint/65604

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