A MODEL FOR THE LONG-TERM OPTIMAL CAPACITY LEVEL OF AN INVESTMENT PROJECT
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Publication:3005956
DOI10.1142/S0219024911006322zbMath1214.91102OpenAlexW2015870873MaRDI QIDQ3005956
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
singular controlcapacity expansionirreversible investmentergodic optimizationItô diffusionstochastic payoff
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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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