Optimal entry to an irreversible investment plan with non convex costs

Tiziano De Angelis, Giorgio Ferrari, Randall Martyr and John Moriarty

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.

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Year of publication:	July 2016
Authors:	De Angelis, Tiziano ; Ferrari, Giorgio ; Martyr, Randall ; Moriarty, John
Publisher:	Bielefeld, Germany : Center for Mathematical Economics (IMW), Bielefeld University
Subject:	continuous-time inventory \| optimal stopping \| singular stochastic control \| irreversible investment \| Ornstein-Uhlenbeck price process \| Stochastischer Prozess \| Stochastic process \| Optionspreistheorie \| Option pricing theory \| Kontrolltheorie \| Control theory \| Mathematische Optimierung \| Mathematical programming \| Suchtheorie \| Search theory \| Betriebliche Investitionstheorie \| Corporate investment theory \| Investition \| Investment

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Extent:	1 Online-Ressource (circa 30 Seiten)
Series:	Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW). - Bielefeld : IMW, ISSN 2942-9536, ZDB-ID 2437810-0. - Vol. 566
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Other identifiers:	hdl:10419/149023 [Handle]
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D92 - Intertemporal Firm Choice and Growth, Investment, or Financing ; E22 - Capital; Investment (including Inventories); Capacity ; Q41 - Demand and Supply
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011517478