A Model For The Long-Term Optimal Capacity Level Of An Investment Project
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DOI: 10.1142/S0219024911006322
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Cited by:
- Ferrari, Giorgio & Li, Hanwu & Riedel, Frank, 2020.
"A Knightian Irreversible Investment Problem,"
Center for Mathematical Economics Working Papers
634, Center for Mathematical Economics, Bielefeld University.
- Giorgio Ferrari & Hanwu Li & Frank Riedel, 2020. "A Knightian Irreversible Investment Problem," Papers 2003.14359, arXiv.org, revised Apr 2020.
- Laruelle Sophie & Pagès Gilles, 2012. "Stochastic approximation with averaging innovation applied to Finance," Monte Carlo Methods and Applications, De Gruyter, vol. 18(1), pages 1-51, January.
- Andrea Bovo & Tiziano De Angelis & Jan Palczewski, 2023. "Zero-sum stopper vs. singular-controller games with constrained control directions," Papers 2306.05113, arXiv.org, revised Feb 2024.
- Andrea Bovo & Tiziano De Angelis & Jan Palczewski, 2023. "Stopper vs. singular-controller games with degenerate diffusions," Papers 2312.00613, arXiv.org, revised Jul 2024.
- Duy Nguyen & Jingzhi Tie & Qing Zhang, 2014. "An Optimal Trading Rule Under a Switchable Mean-Reversion Model," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 145-163, April.
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Keywords
Capacity expansion; stochastic payoff; irreversible investment; singular control; ergodic optimization; Itô diffusion;All these keywords.
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