Irreversible investment problems

Anders Ûksendal ()
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Anders Ûksendal: Department of Mathematics, University of Oslo, P.O.Box 1053 Blindern, N-0316 Oslo, Norway Manuscript

Finance and Stochastics, 2000, vol. 4, issue 2, 223-250

Abstract: This paper mathematically treats the following economic problem: A company wants to expand its capacity in investments that are irreversible. The problem is to find the best investment strategy taking the fluctuating market into account. We give some implicit conditions for a solution in the case where the market process is n-dimensional and an explicit solution in the one dimensional case.

Keywords: Optimal stochastic control; irreversible investments; monotone increasing controls; Feller processes (search for similar items in EconPapers)
JEL-codes: D92 E22 G31 (search for similar items in EconPapers)
Date: 2000-02-10
Note: received: May 1998; final version received: June 1999
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Citations: View citations in EconPapers (22)

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