{"id":1082,"date":"2015-01-22T11:49:46","date_gmt":"2015-01-22T09:49:46","guid":{"rendered":"http:\/\/blogs.abo.fi\/ose\/?p=1082"},"modified":"2015-01-22T11:52:01","modified_gmt":"2015-01-22T09:52:01","slug":"probability-seminar-by-giorgio-ferrari","status":"publish","type":"post","link":"https:\/\/blogs.abo.fi\/ose\/probability-seminar-by-giorgio-ferrari\/","title":{"rendered":"Probability seminar by Giorgio Ferrari"},"content":{"rendered":"<p>Giorgio Ferrari gives a talk on probability theory.<!--more--> The talk is titled &#8220;On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment&#8221;. <\/p>\n<p>Place: Hilbertrummet, ASA building, \u00c5bo Akademi University, Turku, Finland.<br \/>\nTime: 28 January 2015, 3 PM.<\/p>\n<p>Giorgio Ferrari is a post doctoral researcher at the Center for Mathematical Economics, Bielefeld University, Germany.<\/p>\n<h6>Abstract<\/h6>\n<p>In this talk we examine a Markovian model for the optimal irreversible investment problem of a firm aiming at minimizing total expected costs of production. We model market uncertainty and the cost of investment per unit of production capacity as two independent one-dimensional regular diffusions, and we consider a general convex running cost function. The optimization problem is set as a three-dimensional degenerate singular stochastic control problem. We provide the optimal control as the solution of a Skorohod reflection problem at a suitable free-boundary surface. Such boundary arises from the analysis of a family of two-dimensional parameter-dependent optimal stopping problems and it is characterized in terms of the family of unique continuous solutions to parameter-dependent nonlinear integral equations of Fredholm type.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Giorgio Ferrari gives a talk on probability theory.<\/p>\n","protected":false},"author":408,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[5,7],"tags":[73],"class_list":["post-1082","post","type-post","status-publish","format-standard","hentry","category-events","category-news","tag-seminars"],"_links":{"self":[{"href":"https:\/\/blogs.abo.fi\/ose\/wp-json\/wp\/v2\/posts\/1082","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/blogs.abo.fi\/ose\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/blogs.abo.fi\/ose\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/blogs.abo.fi\/ose\/wp-json\/wp\/v2\/users\/408"}],"replies":[{"embeddable":true,"href":"https:\/\/blogs.abo.fi\/ose\/wp-json\/wp\/v2\/comments?post=1082"}],"version-history":[{"count":4,"href":"https:\/\/blogs.abo.fi\/ose\/wp-json\/wp\/v2\/posts\/1082\/revisions"}],"predecessor-version":[{"id":1087,"href":"https:\/\/blogs.abo.fi\/ose\/wp-json\/wp\/v2\/posts\/1082\/revisions\/1087"}],"wp:attachment":[{"href":"https:\/\/blogs.abo.fi\/ose\/wp-json\/wp\/v2\/media?parent=1082"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/blogs.abo.fi\/ose\/wp-json\/wp\/v2\/categories?post=1082"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/blogs.abo.fi\/ose\/wp-json\/wp\/v2\/tags?post=1082"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}