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A model for investments in the natural resource industry with switching costs

Lookup NU author(s): Richard Reuben Lumley, Dr Mihail Zervos

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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.

Publication metadata

Author(s): Lumley RR, Zervos M

Publication type: Article

Publication status: Published

Journal: Mathematics of Operations Research

Year: 2001

Volume: 26

Issue: 4

Pages: 637-653

ISSN (print): 0364-765X

ISSN (electronic):

Publisher: Institute for Operations Research and the Management Sciences

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