英文标题：
《Irreversible investment with fixed adjustment costs: a stochastic
impulse control approach》
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作者：
Salvatore Federico, Mauro Rosestolato, Elisa Tacconi
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最新提交年份：
2019
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英文摘要：
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.
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中文摘要：
我们考虑一个无限时间范围内的最优随机脉冲控制问题，该问题由一个具有固定调整成本的不可逆投资选择模型驱动。利用粘性解技巧，借助半凸变元，我们证明了值函数是相关拟变分不等式的经典解。这使我们能够描述连续区域和动作区域的结构，并构造最优控制。最后，我们将重点放在线性情况下，通过数值分析讨论解对问题相关参数的敏感性。
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分类信息：

一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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