Accueil

Maria B. Chiarolla

  1. Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources.

    Mon, 03/19/2012 - 15:02 — SomNambul
    Authors: Giorgio Ferrari, Frank Riedel, Maria B. Chiarolla
    Subjects: Optimization and Control
    Abstract

    In this paper we study a continuous time, optimal stochastic investment
    problem under limited resources in a market with N firms. The investment
    processes are subject to a time-dependent stochastic constraint. Rather than
    using a dynamic programming approach, we exploit the concavity of the profit
    functional to derive some necessary and sufficient first order conditions for
    the corresponding Social Planner optimal policy. Our conditions are a
    stochastic infinite-dimensional generalization of the Kuhn-Tucker Theorem.

  2. Identifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank-El Karoui Representation Theorem.

    Thu, 08/25/2011 - 15:01 — SomNambul
    Authors: Giorgio Ferrari, Maria B. Chiarolla
    Subjects: Optimization and Control
    Abstract

    We study a stochastic, continuous-time model on a finite horizon for a firm
    that produces one good utilizing production capacity (capital). We model the
    capital as an Ito diffusion controlled by a nondecreasing process representing
    the cumulative investment. The firm's optimal problem is to choose capital
    investment in order to maximize its expected total net profit. We derive some
    necessary and sufficient first order conditions for optimality and we
    characterize the optimal solution of the investment problem in terms of the
    "base capacity" process, i.e.

Math-arch

Syndicate content