A MODEL FOR THE LONG-TERM OPTIMAL CAPACITY LEVEL OF AN INVESTMENT PROJECT

DOI10.1142/S0219024911006322zbMath1214.91102OpenAlexW2015870873MaRDI QIDQ3005956

Arne Løkka, Mihail Zervos

Publication date: 10 June 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024911006322

zbMATH Keywords

singular controlcapacity expansionirreversible investmentergodic optimizationItô diffusionstochastic payoff

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60) Portfolio theory (91G10)

Related Items (3)

A Knightian irreversible investment problem ⋮ An optimal trading rule under a switchable mean-reversion model ⋮ Irreversible capital accumulation with economic impact

Cites Work

• Editorial: 20th anniversary of Finance and Stochastics
• Capacity Expansion and Probabilistic Growth
• Optimal Control under a Dynamic Fuel Constraint
• A Model for Reversible Investment Capacity Expansion
• A Class of Singular Control Problems and the Smooth Fit Principle
• Optimal capacity expansion under uncertainty
• A Class of Solvable Stochastic Investment Problems Involving Singular Controls
• Capacity expansion with exponential jump diffusion processes
• Optimal Investment with Costly Reversibility
• Explicit Solution of a Stochastic, Irreversible Investment Problem and Its Moving Threshold

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