Yiannis Kamarianakis () (Regional Analysis Division, Institute of Applied and Computational Mathematics, Foundation for Research and Technology-Hellas, Greece) Anastasios Xepapadeas () (Department of Economics, University of Crete, Greece)
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This paper studies the problem of a company which expands its stochastic production capacity in irreversible investments by purchasing capital and faces both fixed and proportional costs. The objective of the company is to find optimal production decisions to maximize its expected total net profit in an infinite horizon. We solve this problem explicitly by applying the theory of stochastic impulse controls.
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Paper provided by University of Crete, Department of Economics in its series Working Papers with number
0708.
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