The effect of mean reversion on investment under uncertainty

DOI10.1016/S0165-1889(02)00181-1zbMath1179.91257OpenAlexW1978475840MaRDI QIDQ951469

Sudipto Sarkar

Publication date: 24 October 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(02)00181-1

zbMATH Keywords

uncertaintystochastic processinvestmentmean reversion

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Corporate finance (dividends, real options, etc.) (91G50)

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Cites Work

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• Investment under alternative return assumptions
• Cost uncertainty and the rate of investment
• On the investment-uncertainty relationship in a real options model
• An Intertemporal Capital Asset Pricing Model

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