On optimal timing of investment when cost components are additive and follow geometric diffusions-Reference-Cited by-同舟云学术

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On optimal timing of investment when cost components are additive and follow geometric diffusions

Published:1992-01 Issue:1 Volume:16 Page:39-51
ISSN:0165-1889
Container-title:Journal of Economic Dynamics and Control
language:en
Short-container-title:Journal of Economic Dynamics and Control

Author:

Olsen Trond E.,Stensland Gunnar

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference6 articles.

1. The value of waiting to invest;McDonald;Quarterly Journal of Economics,1986

2. Invariant controls in stochastic allocation problems;Olsen,1991

3. A note on the convergence of binomial pricing and compound-option models;Omberg;Journal of Finance,1987

4. Stochastic differential equations: An introduction with applications;Øksendal,1985

5. Introduction to stochastic dynamic programming;Ross,1983

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