Investments with declining cost following a Lévy process

DOI10.1016/J.EJOR.2022.05.001OpenAlexW4280589912MaRDI QIDQ2079415

F. Armerin

Publication date: 29 September 2022

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2022.05.001

zbMATH Keywords

Lévy processesoptimal stoppinguncertainty modellingproduct innovationirreversible investments

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

• Unnamed Item
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• Quasi-analytical solution of an investment problem with decreasing investment cost due to technological innovations
• Fluctuations of Lévy processes with applications. Introductory lectures
• Some remarks on first passage of Lévy processes, the American put and pasting principles
• The incomplete gamma functions

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