Optimal entry to an irreversible investment plan with non convex costs
Mathematics and Financial Economics
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A problem of optimally purchasing electricity at a real-valued spot price (that is, allowing negative prices) has been recently addressed in De Angelis, Ferrari and Moriarty (2015) [SIAM J. Control Optim. 53(3)]. The problem can be considered one of irreversible investment with a cost function which is non convex with respect to the control variable. In this paper we study optimal entry into the investment plan. The optimal entry policy can have an irregular boundary, with a kinked shape.
AuthorsDe Angelis, T; Ferrari, G; Martyr, R; MORIARTY, JM
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