不确定条件下具有线性成本的进入和退出决策

IF 0.8 4区数学 Q3 MATHEMATICS, APPLIED

Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2015-03-04 DOI:10.1080/17442508.2014.939976

Yongchao Zhang

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引用次数: 6

摘要

从随机规划的角度，对Dixit [a]提出的一个项目的进入和退出决策进行了严格的分析。英国退欧:不确定性下的英国退欧决策[j]。经济，97 (1989)，pp. 620-638]。在本文中，我们假设成本与项目所生产的商品价格成线性关系，而不是传统研究中假设成本是恒定的。在此假设下，我们得到了一个条件，保证投资该项目是毫无价值的;此外，当商品价格大于一定值时，项目可能会终止。相反，如果成本不变，就不会有这样的结果。此外，如果项目值得投资，我们提供了一个明确的进入和退出决策的解决方案。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Entry and exit decisions with linear costs under uncertainty

From the viewpoint of stochastic programming, we rigorously analyse entry and exit decisions of a project which were proposed by Dixit [A. Dixit, Entry and exit decisions under uncertainty, J. Polit. Econ. 97 (1989), pp. 620–638]. In this article, instead of assuming that the costs are constant in classical research, we assume that they are linear with respect to the price of the commodity produced by the project. Under this assumption, we obtain a condition which guarantees that investing in the project is worthless; besides, the project may be terminated when the commodity price is greater than a certain value. In contrast, there are no such results provided that the costs are constant. Moreover, we provide an explicit solution of entry and exit decisions if the project is worthy to be invested in.

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来源期刊

Stochastics-An International Journal of Probability and Stochastic Processes MATHEMATICS, APPLIED-STATISTICS & PROBABILITY

CiteScore

1.90

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Stochastics: An International Journal of Probability and Stochastic Processes is a world-leading journal publishing research concerned with stochastic processes and their applications in the modelling, analysis and optimization of stochastic systems, i.e. processes characterized both by temporal or spatial evolution and by the presence of random effects. Articles are published dealing with all aspects of stochastic systems analysis, characterization problems, stochastic modelling and identification, optimization, filtering and control and with related questions in the theory of stochastic processes. The journal also solicits papers dealing with significant applications of stochastic process theory to problems in engineering systems, the physical and life sciences, economics and other areas. Proposals for special issues in cutting-edge areas are welcome and should be directed to the Editor-in-Chief who will review accordingly. In recent years there has been a growing interaction between current research in probability theory and problems in stochastic systems. The objective of Stochastics is to encourage this trend, promoting an awareness of the latest theoretical developments on the one hand and of mathematical problems arising in applications on the other.