Optimal investment in research and development under uncertainty
DOI10.1007/S10957-015-0751-7zbMATH Open1332.90123OpenAlexW931442248MaRDI QIDQ255103FDOQ255103
Authors: Roy Cerqueti, Daniele Marazzina, Marco Ventura 
Publication date: 9 March 2016
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://openresearch.lsbu.ac.uk/download/edd9ef1eff41554197e2592198a64d71e9da3d4c886b92dac5721f62120e6236/371968/Optimal%20R%26D%20investment%20JOTA%2017-04-2015.pdf
Recommendations
- Expenditure patterns and timing of patent protection in a competitive R \& D environment
- Stochastics of innovation processes
- Optimal R&D programs in a random environment
- A stochastic competitive R\&D race where ``winner takes all
- Robust optimal R\&D investment under technical uncertainty in a regime-switching environment
Management decision making, including multiple objectives (90B50) Finite difference methods for boundary value problems involving PDEs (65N06)
Cites Work
- Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
- Stochastics of innovation processes
- The option value of advanced R\&D
- Expenditure patterns and timing of patent protection in a competitive R \& D environment
- Optimal consumption under deterministic income
- Optimal investment in development projects
- Real R&D options and optimal activation of two-dimensional random controls
- Perfect Equilibrium in a Model of a Race
- Optimal R&D programs in a random environment
- Dynamic programming via measurable selection
- R&D projects analyzed by semimartingale methods
- A diffusion process model for the optimal investment strategies of an R & D project
- A Dynamic Game of R and D: Patent Protection and Competitive Behavior
- Dynamic investment strategies for a risky R and D project
- Evaluating pharmaceutical R\&D under technical and economic uncertainty
- A strong comparison result for the bellman equation arising in stochastic exit time control problems and its applications
- The Assessment of Reservation Prices of an Intermediate R&D Result and Patent Reward Under Oligopolistic Competitive Behaviour
- The Dirichlet Problem for Semilinear Second-Order Degenerate Elliptic Equations and Applications to Stochastic Exit Time Control Problems
- R&D Investments with Competitive Interactions
- Optimal Sequencing and Resource Allocation in Research and Development Projects
- Title not available (Why is that?)
- Optimal Management of a Research and Development Project
Cited In (11)
- Evaluating pharmaceutical R\&D under technical and economic uncertainty
- A dynamical model of optimal investment in R\& D
- Exploration, exploitation and adaptive rationality: the neo-Schumpeterian perspective
- R\&D investment under time-inconsistent preferences
- Title not available (Why is that?)
- European option based R\&D investment decision making under uncertainties
- Modeling of optimal investment in science and technology
- Optimal R\&D investment for a risk-averse entrepreneur
- Formulation and solution of an optimal control problem for industrial project control
- The impact of economic policy uncertainty and monetary policy on R\&D investment: an option pricing approach
- Irreversibility of R\&D investment and the adverse effect of uncertainty: Evidence from the OECD countries
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