An investment model with entry and exit decisions

被引：1
|
作者：
Duckworth, JK [1 ]
Zervos, M
机构：
[1] Newcastle Univ, Sch Math & Stat, Dept Stat, Newcastle Upon Tyne NE1 7RU, Tyne & Wear, England
[2] Kings Coll London, Dept Math, London WC2R 2LS, England
来源：
JOURNAL OF APPLIED PROBABILITY | 2000年 / 37卷 / 02期
关键词：
stochastic control; optimal stopping; real assets;
D O I：
10.1017/S0021900200015734
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We consider an investment model which generalizes a number of models that have been studied in the literature. The model involves entry and exit decisions as well as decisions relating to production scheduling. We then address the problem of its valuation from the standpoint of the dynamic programming approach. Our analysis results in a closed form analytic solution that can take qualitatively different forms depending on parameter values.
引用
收藏
页码：547 / 559
页数：13
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