具有制度转换功能的最佳研发投资问题

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-05-27 DOI:10.1007/s10957-024-02451-0

Ming-hui Wang, Jia Yue, Nan-jing Huang

{"title":"具有制度转换功能的最佳研发投资问题","authors":"Ming-hui Wang, Jia Yue, Nan-jing Huang","doi":"10.1007/s10957-024-02451-0","DOIUrl":null,"url":null,"abstract":"<p>In this paper, we study the optimal research and development (R &D) investment problem under the framework of real options in a regime-switching environment. We assume that the firm has an R &D project whose input process with technical uncertainty is affected by different regimes. By the method of dynamic programming, we have obtained the related Hamilton–Jacobi–Bellman (HJB) equation and solved it in three different cases. Then, the optimal solution for our model is constructed and the related verification theorem is also provided. Finally, some numerical examples are given to investigate the properties of our model.</p>","PeriodicalId":1,"journal":{"name":"Accounts of Chemical Research","volume":null,"pages":null},"PeriodicalIF":16.4000,"publicationDate":"2024-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Optimal R &D Investment Problem with Regime-Switching\",\"authors\":\"Ming-hui Wang, Jia Yue, Nan-jing Huang\",\"doi\":\"10.1007/s10957-024-02451-0\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>In this paper, we study the optimal research and development (R &D) investment problem under the framework of real options in a regime-switching environment. We assume that the firm has an R &D project whose input process with technical uncertainty is affected by different regimes. By the method of dynamic programming, we have obtained the related Hamilton–Jacobi–Bellman (HJB) equation and solved it in three different cases. Then, the optimal solution for our model is constructed and the related verification theorem is also provided. Finally, some numerical examples are given to investigate the properties of our model.</p>\",\"PeriodicalId\":1,\"journal\":{\"name\":\"Accounts of Chemical Research\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":16.4000,\"publicationDate\":\"2024-05-27\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Accounts of Chemical Research\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.1007/s10957-024-02451-0\",\"RegionNum\":1,\"RegionCategory\":\"化学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"CHEMISTRY, MULTIDISCIPLINARY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Accounts of Chemical Research","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1007/s10957-024-02451-0","RegionNum":1,"RegionCategory":"化学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"CHEMISTRY, MULTIDISCIPLINARY","Score":null,"Total":0}

引用次数: 0

摘要

本文研究了制度转换环境下实物期权框架下的最优研发（R&D）投资问题。我们假设企业有一个研发项目，其具有技术不确定性的投入过程会受到不同制度的影响。通过动态程序设计的方法，我们得到了相关的汉密尔顿-雅各比-贝尔曼（HJB）方程，并在三种不同情况下求解了该方程。然后，我们构建了模型的最优解，并提供了相关的验证定理。最后，给出了一些数值示例来研究我们模型的特性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

Optimal R &D Investment Problem with Regime-Switching

查看原文本刊更多论文

Optimal R &D Investment Problem with Regime-Switching

In this paper, we study the optimal research and development (R &D) investment problem under the framework of real options in a regime-switching environment. We assume that the firm has an R &D project whose input process with technical uncertainty is affected by different regimes. By the method of dynamic programming, we have obtained the related Hamilton–Jacobi–Bellman (HJB) equation and solved it in three different cases. Then, the optimal solution for our model is constructed and the related verification theorem is also provided. Finally, some numerical examples are given to investigate the properties of our model.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.