We consider a real options model for the optimal irreversible investment problem of a profit maximizing company. The … two independent geometric Brownian motions. After paying a constant sunk investment cost, the company sells the products … on the market and thus receives a continuous stochastic revenue-flow. This investment problem is set as a twodimensional …

In this paper, we study an irreversible investment problem under Knightian uncertainty. In a general framework, in … investment plan, and derive necessary and sufficient conditions for optimality. This allows us to construct the optimal policy in …-ignorance" - we are able to provide the explicit form of the optimal irreversible investment plan. …