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A real options model for electricity capacity expansion. (2011). Smeers, Yves ; Gahungu, Joachim .
In: LIDAM Discussion Papers CORE.
RePEc:cor:louvco:2011044.

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  74. We solved the problem assuming that smooth pasting condition (70) held. However, there exists simple20 optimal stopping problems where the smooth pasting condition fails to hold.21 A useful result of Brekke and Ãksendal (1991) ensures that an stopping time found via a smooth pasting condition is the optimal stopping time. For sake of completeness, let us show that this veriïcation theorem is easy to apply for (69). The candidate optimal stopping time determined using the smooth pasting principle satisïes the following properties (i) f â C1( +). (ii) f â g on +. 18The optimal stopping problems described by Problem 4 with Î given by (1), by Problem 4 with Î given by (2) and the optimal stopping problem (39). 19A random time Ï is a stopping time w.r.t. a certain ïltration Ft if Ï(Ï) â t is Ftmeasurable.
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