A Model for Investment Decisions with Switching Costs
Duckworth, Kate ; Zervos, Mihail
Ann. Appl. Probab., Tome 11 (2001) no. 2, p. 239-260 / Harvested from Project Euclid
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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.
Publié le : 2001-02-14
Classification:  stochastic impulse control,  real options,  93E20,  60G40,  90A16 
@article{998926992,
     author = {Duckworth, Kate and Zervos, Mihail},
     title = {A Model for Investment Decisions with Switching Costs},
     journal = {Ann. Appl. Probab.},
     volume = {11},
     number = {2},
     year = {2001},
     pages = { 239-260},
     language = {en},
     url = {http://dml.mathdoc.fr/item/998926992}
}

Duckworth, Kate; Zervos, Mihail. A Model for Investment Decisions with Switching Costs. Ann. Appl. Probab., Tome 11 (2001) no. 2, pp.  239-260. http://gdmltest.u-ga.fr/item/998926992/