Search Results - subject:"Optimal switching"

Macroeconomic conditions and a firm's investment decisions

Jeon, Haejun; Nishihara, Michi - In: Finance research letters 11 (2014) 4, pp. 398-409

Persistent link: https://www.econbiz.de/10011300436

Multiple Disorder Problems for Wiener and Compound Poisson Processes With Exponential Jumps

Gapeev, Pavel - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

jumps. The method of proof is based on reducing the initial optimal switching problems to the corresponding coupled optimal … reducing the initial optimal switching problems to the corresponding coupled optimal stopping prob- lems and solving the … disorder problem, Wiener process, compound Poisson process, optimal switching, coupled optimal stopping problem, (integro …

Persistent link: https://www.econbiz.de/10005677963

OPTIMAL LAND MANAGEMENT WITH MULTIPLE CROPS

Doole, Graeme J.; Pannell, David J. - Australian Agricultural and Resource Economics Society … - 2005

Abstract. This paper examines the optimal management of agricultural land through the use of non-crop inputs, such as fertiliser, and land uses that either degrade or restore productivity. We demonstrate the need to consider the relative total asset value of alternative crops over time. It is...

Persistent link: https://www.econbiz.de/10010882140

Optimal switching control of a fed-batch fermentation process

Liu, Chongyang; Gong, Zhaohua; Feng, Enmin; Yin, Hongchao - In: Journal of Global Optimization 52 (2012) 2, pp. 265-280

Persistent link: https://www.econbiz.de/10010896365

Time discretization and quantization methods for optimal multiple switching problem

Gassiat, Paul; Kharroubi, Idris; Pham, Huyên - In: Stochastic Processes and their Applications 122 (2012) 5, pp. 2019-2052

-time approximation of the optimal switching problem, and analyse its rate of convergence. Given a time step h, the error is in general of … quantization errors. Finally, some numerical tests are performed for an optimal switching problem with two regimes. …

Persistent link: https://www.econbiz.de/10011065086

Producing energy in a stochastic environment: Switching from non-renewable to renewable resources

Mosiño, Alejandro - In: Resource and Energy Economics 34 (2012) 4, pp. 413-430

be solved analytically, then we turn to numerical simulations. Our results suggest that the optimal switching time …

Persistent link: https://www.econbiz.de/10011043429

Producing energy in a stochastic environment : switching from non-renewable to renewable resources

Mosiño, Alejandro - In: Resource and energy economics 34 (2012) 4, pp. 413-430

Persistent link: https://www.econbiz.de/10009663735

Optimal Stopping of Active Portfolio Management

Choi, Kyoung Jin; Koo, Hyeng Keun; Kwak, Do Young - In: Annals of Economics and Finance 5 (2004) 1, pp. 93-126

We study an investor¡¯s decision to switch from active portfolio management to passive management. This problem is mathematically modelled by a mixture of a consumption-portfolio selection problem and an optimal stopping problem. We assume that the investor has stochastic differential utility...

Persistent link: https://www.econbiz.de/10009150915

ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT

DJEHICHE, BOUALEM; HAMADÈNE, SAID - In: International Journal of Theoretical and Applied … 12 (2009) 04, pp. 523-543

We address the issue of finding a strategy to sustain structural profitability of an investment project, whose production activity depends on the market price of a number of underlying commodities. Depending on the fluctuating prices of these commodities, the activity will either continue until...

Persistent link: https://www.econbiz.de/10004983227

Solving Singular Control from Optimal Switching

Guo, Xin; Tomecek, Pascal - In: Asia-Pacific Financial Markets 15 (2008) 1, pp. 25-45

Persistent link: https://www.econbiz.de/10005727040