TAKASHIMA, RYUTA; GOTO, MAKOTO; TSUJIMURA, MOTOH - In: Asia-Pacific Journal of Operational Research (APJOR) 27 (2010) 02, pp. 271-286
We consider an optimal investment problem when a firm such as an electric power company has the operational flexibility to expand and contract capacity with fixed cost. This problem is formulated as an impulse control problem combined with optimal stopping. Consequently, we obtain optimal...