Irreversible Investment under Endowment Constraints
摘要
In this paper, we study the problem of irreversible investment under endowment constraints. We first establish the existence and uniqueness of the result and then demonstrate the necessity and sufficient conditions for optimality. Based on this condition, we provide a characterization for optimal investment plans, which can be obtained by the so-called base capacity solving a backward equation. We may obtain explicit solutions for certain typical cases.