Investments with declining cost following a Lévy process

DOI10.1016/J.EJOR.2022.05.001MaRDI QIDQ2079415zbMATH OpenOpenAlexFDO

Authors F. Armerin

Publication date 29 September 2022

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

Copyright license Creative Commons Attribution 4.0 International

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)

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Cites work

• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• Analytical solution for an investment problem under uncertainties with shocks
• Fluctuations of Lévy processes with applications. Introductory lectures
• Green investment under time-dependent subsidy retraction risk
• Optimal stopping and perpetual options for Lévy processes
• Optimal technology adoption when the arrival rate of new technologies changes
• Optimal timing of technology adoption
• Quasi-analytical solution of an investment problem with decreasing investment cost due to technological innovations
• Some remarks on first passage of Lévy processes, the American put and pasting principles
• Technological advances and the decision to invest
• Technology adoption in a declining market
• The incomplete gamma functions
• Timing of investment under technological and revenue-related uncertainties

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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