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.
Citation
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
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