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February 2001 A Model for Investment Decisions with Switching Costs
Kate Duckworth, Mihail Zervos
Ann. Appl. Probab. 11(1): 239-260 (February 2001). DOI: 10.1214/aoap/998926992

Abstract

We address the problem of determining in an optimal way the sequence of times at which a firm can enter or exit an economic activity. In particular, we consider an investment model which involves production scheduling as well as a sequence of entry and exit decisions. The pricing of an investment conforming with this model gives rise to a stochastic impulse control problem that we explicitly solve. Our solution takes qualitatively different forms, depending on the problem's data.

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Kate Duckworth. Mihail Zervos. "A Model for Investment Decisions with Switching Costs." Ann. Appl. Probab. 11 (1) 239 - 260, February 2001. https://doi.org/10.1214/aoap/998926992

Information

Published: February 2001
First available in Project Euclid: 27 August 2001

zbMATH: 1083.91055
MathSciNet: MR1825465
Digital Object Identifier: 10.1214/aoap/998926992

Subjects:
Primary: 93E20
Secondary: 60G40 , 90A16

Keywords: real options , stochastic impulse control

Rights: Copyright © 2001 Institute of Mathematical Statistics

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Vol.11 • No. 1 • February 2001
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