New venture creation: a drift-variance diffusion control model

DOI10.1287/OPRE.2021.2171MaRDI QIDQ5058056zbMATH OpenOpenAlexFDO

Authors Zhengli Wang, Stefanos A. Zenios

Publication date 1 December 2022

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.2021.2171

zbMATH Keywords

startupdynamic programmingstochastic differential equationstochastic controlentrepreneurshipHamilton-Jacobian-Bellman equationnew venture

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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Cites work

• A model for investment decisions with switching costs.
• Acquisition of project-specific assets with Bayesian updating
• Investment timing with incomplete information and multiple means of learning
• Optimal Switching in an Economic Activity under Uncertainty
• Optimal dynamic product development and launch for a network of customers
• Risk vs. profit potential:
• Solving the drift control problem

Cited in

(1)

• Optimal timing of investment and debt payment in production expansion with the use of external financing

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