Loading Events

« All Events

Salvatore FEDERICO (Universita di Siena) “Irreversible Investment with Fixed Adjustment Costs: a Stochastic Impulse Control Approach”

February 4, 3:30 pm - 4:30 pm

1st Monday of each month

Time: 3:30 pm – 4:30 pm
Date: 04 th of February 2019
Place: Room 3105

Salvatore FEDERICO (Universita di Siena) “Irreversible Investment with Fixed Adjustment Costs: a Stochastic Impulse Control Approach”

Abstract : We consider an optimal stochastic impulse control problem over an infinite time horizon
motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on semiconvexity arguments, we prove that the value function is a classical solution to the associated quasi-variational inequality.
This enables us to characterize the structure of the continuation and action regions and construct an optimal control. Finally, we focus on the linear case, discussing, by a numerical analysis, the sensitivity of the solution with respect to the relevant parameters of the problem.

 

Details

Date:
February 4
Time:
3:30 pm - 4:30 pm
Event Categories:
,

Organizers

Caroline HILLAIRET
Peter TANKOV