Investments with declining cost following a Lévy process

DOI10.1016/J.EJOR.2022.05.001OpenAlexW4280589912MaRDI QIDQ2079415FDOQ2079415

Authors: F. Armerin 

Publication date: 29 September 2022

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2022.05.001

zbMATH Keywords

uncertainty modellingoptimal stoppingproduct innovationirreversible investmentsLévy processes

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

• Optimal timing of technology adoption
• Title not available (Why is that?)
• Fluctuations of Lévy processes with applications. Introductory lectures
• Optimal technology adoption when the arrival rate of new technologies changes
• Some remarks on first passage of Lévy processes, the American put and pasting principles
• Timing of investment under technological and revenue-related uncertainties
• Optimal stopping and perpetual options for Lévy processes
• Technological advances and the decision to invest
• The incomplete gamma functions
• Analytical solution for an investment problem under uncertainties with shocks
• Technology adoption in a declining market
• Green investment under time-dependent subsidy retraction risk
• Quasi-analytical solution of an investment problem with decreasing investment cost due to technological innovations

Cited In (2)

• Using the Lévy sections to reduce risks in the buying strategies and asset sales that value in time
• Disincentives for cost-reducing investment

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