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Lookup NU author(s): Julia Duckworth, Dr Mihail Zervos
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We consider an investment model which generalizes a number of models that have been studied in the literature. The model involves entry and exit decisions as well as decisions relating to production scheduling. We then address the problem of its valuation from the standpoint of the dynamic programming approach. Our analysis results in a closed form analytic solution that can take qualitatively different forms depending on parameter values.
Author(s): Duckworth JK, Zervos M
Publication type: Article
Publication status: Published
Journal: Journal of Applied Probability
Year: 2000
Volume: 37
Issue: 2
Pages: 547-559
Print publication date: 01/06/2000
ISSN (print): 0021-9002
ISSN (electronic): 1475-6072
Publisher: Applied Probability Trust
URL: http://www.jstor.org/stable/3215729
