Optimal partially reversible investment with entry decision and general production function
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Avinash K. Dixit & Robert S. Pindyck, 1994. "Investment under Uncertainty," Economics Books, Princeton University Press, edition 1, number 5474.
- Anders ûksendal, 2000. "Irreversible investment problems," Finance and Stochastics, Springer, vol. 4(2), pages 223-250.
- Pindyck, Robert S, 1988.
"Irreversible Investment, Capacity Choice, and the Value of the Firm,"
American Economic Review,
American Economic Association, vol. 78(5), pages 969-985, December.
- Pindyck, Robert S., 1986. "Irreversible investment, capacity choice, and the value of the firm," Working papers 1802-86., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Robert S. Pindyck, 1986. "Irreversible Investment, Capacity Choice, and the Value of the Firm," NBER Working Papers 1980, National Bureau of Economic Research, Inc.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- de Angelis, Tiziano & Federico, Salvatore & Ferrari, Giorgio, 2016. "On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment," Center for Mathematical Economics Working Papers 509, Center for Mathematical Economics, Bielefeld University.
- Baurdoux, Erik J. & Yamazaki, Kazutoshi, 2015. "Optimality of doubly reflected Lévy processes in singular control," Stochastic Processes and their Applications, Elsevier, vol. 125(7), pages 2727-2751.
- Jean-Paul Décamps & Stéphane Villeneuve, 2007. "Optimal dividend policy and growth option," Finance and Stochastics, Springer, vol. 11(1), pages 3-27, January.
- repec:eee:jbfina:v:81:y:2017:i:c:p:172-180 is not listed on IDEAS
- De Angelis, Tiziano & Ferrari, Giorgio, 2014. "A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis," Stochastic Processes and their Applications, Elsevier, vol. 124(12), pages 4080-4119.
- Di Corato, Luca & Moretto, Michele & Vergalli, Sergio, 2014. "Long-run investment under uncertain demand," Economic Modelling, Elsevier, vol. 41(C), pages 80-89.
- Baurdoux, Erik J. & Yamazaki, Kazutoshi, 2015. "Optimality of doubly reflected Lévy processes in singular control," LSE Research Online Documents on Economics 61617, London School of Economics and Political Science, LSE Library.
- Joachim Gahungu and Yves Smeers, 2012. "A Real Options Model for Electricity Capacity Expansion," RSCAS Working Papers 2012/08, European University Institute.
- Salvatore Federico & Mauro Rosestolato & Elisa Tacconi, 2018. "Irreversible investment with fixed adjustment costs: a stochastic impulse control approach," Papers 1801.04491, arXiv.org.
- Hamadène, Said & Zhang, Jianfeng, 2010. "Switching problem and related system of reflected backward SDEs," Stochastic Processes and their Applications, Elsevier, vol. 120(4), pages 403-426, April.
- de Angelis, Tiziano & Ferrari, Giorgio, 2016. "Stochastic nonzero-sum games: a new connection between singular control and optimal stopping," Center for Mathematical Economics Working Papers 565, Center for Mathematical Economics, Bielefeld University.
- Tiziano De Angelis & Salvatore Federico & Giorgio Ferrari, 2014.
"Optimal Boundary Surface for Irreversible Investment with Stochastic Costs,"
1406.4297, arXiv.org, revised Jan 2017.
- Tiziano De Angelis & Salvatore Federico & Giorgio Ferrari, 2015. "Optimal boundary surface for irreversible investment with stochastic costs," Working Papers - Mathematical Economics 2015-03, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- repec:spr:compst:v:76:y:2012:i:3:p:239-271 is not listed on IDEAS
- Xin Guo & Pascal Tomecek, 2008. "Solving Singular Control from Optimal Switching," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(1), pages 25-45, March.
- de Angelis, Tiziano & Ferrari, Giorgio & Martyr, Randall & Moriarty, John, 2016. "Optimal entry to an irreversible investment plan with non convex costs," Center for Mathematical Economics Working Papers 566, Center for Mathematical Economics, Bielefeld University.
- Pekka Matomäki, 2012. "On solvability of a two-sided singular control problem," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 76(3), pages 239-271, December.
- Yiannis Kamarianakis & Anastasios Xepapadeas, 2007. "An Irreversible Investment Model with a Stochastic Production Capacity and Fixed Plus Proportional Adjustment Costs," Working Papers 0708, University of Crete, Department of Economics.
- Johnson, Timothy C. & Zervos, Mihail, 2010. "The explicit solution to a sequential switching problem with non-smooth data," LSE Research Online Documents on Economics 29003, London School of Economics and Political Science, LSE Library.
- Giorgio Ferrari & Tiziano Vargiolu, 2017. "On the Singular Control of Exchange Rates," Papers 1712.02164, arXiv.org.
More about this item
KeywordsSingular stochastic control Optimal stopping Viscosity solutions Skorohod problem Reversible investment Production;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:115:y:2005:i:5:p:705-736. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.