A Model for Investments in the Natural Resource Industry with Switching Costs

R. R. Lumley · Mihail Zervos

43 citations0/0 files storedMathematics of Operations Research

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Capital Investment and Risk Analysis Stochastic processes and financial applications Risk and Portfolio Optimization

Abstract

We consider a model for investment decisions in the natural resource industry with switching costs. This model gives rise to a problem combining features of both absolutely continuous and impulse stochastic control that we explicitly solve. The solution takes qualitatively different forms, depending on parameter values.

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1994Investment Under Uncertainty.1994Investment under Uncertainty 1999Continuous Martingales and Brownian Motion 1985Evaluating Natural Resource Investments 1989Entry and Exit Decisions under Uncertainty 1996Real Options: Managerial Flexibility and Strategy in Resource Allocation 1991Continuous Martingales and Brownian Motion 1996Real options: Managerial flexibility and strategy in resource allocation

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2005Optimal Switching with Applications to Energy Tolling Agreements 2010The explicit solution to a sequential switching problem with non-smooth data

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