具有制度转换功能的最佳研发投资问题

IF 1.6 3区数学 Q2 MATHEMATICS, APPLIED

Journal of Optimization Theory and Applications Pub Date : 2024-05-27 DOI:10.1007/s10957-024-02451-0

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

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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

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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.

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来源期刊

Journal of Optimization Theory and Applications 数学-应用数学

CiteScore

3.30

自引率

5.30%

发文量

149

审稿时长

9.9 months

期刊介绍： The Journal of Optimization Theory and Applications is devoted to the publication of carefully selected regular papers, invited papers, survey papers, technical notes, book notices, and forums that cover mathematical optimization techniques and their applications to science and engineering. Typical theoretical areas include linear, nonlinear, mathematical, and dynamic programming. Among the areas of application covered are mathematical economics, mathematical physics and biology, and aerospace, chemical, civil, electrical, and mechanical engineering.