Koch, Torben; Vargiolu, Tiziano: Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem. In: . Vol.627. 2019, page 29 et seq.
Content
- 1. Introduction
- 2. Model and Problem Formulation
- 3. A Verification Theorem
- 4. Constructing an Optimal Solution to the Installation Problem
- 4.1. The Free Boundary: Existence and Characterization
- 4.2. The Optimal Strategy and the Value Function: Verification
- 5. Numerical Implementation
- Appendix A. Auxiliary Results
- Appendix B. Proofs of Results from Section 3 and Section 4
- References