Irreversible investment problems
This paper mathematically treats the following economic problem: A company wants to expand its capacity in investments that are irreversible. The problem is to find the best investment strategy taking the fluctuating market into account. We give some implicit conditions for a solution in the case where the market process is n-dimensional and an explicit solution in the one dimensional case.
Volume (Year): 4 (2000)
Issue (Month): 2 ()
|Note:||received: May 1998; final version received: June 1999|
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|Order Information:||Web: http://www.springer.com/mathematics/quantitative+finance/journal/780/PS2|