Optimal investment decision under switching regimes of subsidy support

DOI10.1016/j.ejor.2019.02.019zbMath1441.91089arXiv1802.09574OpenAlexW2963120325MaRDI QIDQ2183316

Yanyan Li

Publication date: 26 May 2020

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

Full work available at URL: https://arxiv.org/abs/1802.09574

zbMATH Keywords

dynamic programmingoptimal stoppingviscosity solutionsoptimal investmentswitching stochastic differential equations

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (4)

Optimal harvesting under marine reserves and uncertain environment ⋮ Do subsidies increase firm productivity? Evidence from Chinese manufacturing enterprises ⋮ Green investment under time-dependent subsidy retraction risk ⋮ Quasi-analytical solution of an investment problem with decreasing investment cost due to technological innovations

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