Research group: Financial Mathematics
Research topic: Linear diffusions and optimal capacity expansion models.
Brief summary: We model an investor’s capacity expansion decisions as solutions to singular stochastics control problems where the market uncertainty is modelled by a linear diffusion. The optimal strategies are described in terms of a free boundary dividing investing and waiting regions.
Contact details: J.E.Pasos@lse.ac.uk
Supervisor(s): Professor Michalis Zervos / Dr Arne Lokka