Irreversible Capital Accumulation with Economic Impact

Irreversible Capital Accumulation with Economic Impact 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Irreversible Capital Accumulation with Economic Impact

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Publisher
Springer US
Copyright
Copyright © 2016 by The Author(s)
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics, Simulation
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-016-9341-9
Publisher site
See Article on Publisher Site

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.

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: Mar 21, 2016

References

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