An optimal multiple stopping approach to infrastructure investment decisions

DOI10.1016/j.jedc.2015.02.001zbMath1401.91575arXiv1502.00861OpenAlexW3122394946MaRDI QIDQ1657596

Eric Dahlgren, Tim Leung

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.00861

zbMATH Keywords

lead timeoptimal multiple stoppinginfrastructure investmentsreal optionoperational flexibility

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

Related Items (9)

Multiple stopping time POMDPs: structural results \& application in interactive advertising on social media ⋮ Technology ladders and R\&D in dynamic Cournot markets ⋮ Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models ⋮ AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING ⋮ IRREVERSIBLE INVESTMENTS AND AMBIGUITY AVERSION ⋮ Model risk in real option valuation ⋮ Optimal expansion timing decisions in multi-stage PPP projects involving dedicated asset and government subsidies ⋮ Investing in electricity production under a reliability options scheme ⋮ Modelling and computation of optimal multiple investment timing in multi-stage capacity expansion infrastructure projects

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