کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4614113 1631563 2016 27 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
An irreversible investment problem with maintenance expenditure on a finite horizon: Free boundary analysis
ترجمه فارسی عنوان
یک مشکل سرمایه گذاری غیرقابل برگشت با هزینه های تعمیر و نگهداری در یک افق محدود: تجزیه و تحلیل مرزی آزاد
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز ریاضی
چکیده انگلیسی

This paper concerns a continuous-time, finite horizon, optimal irreversible investment problem with maintenance expenditure of a firm under uncertainty. We assume that the firm can make irreversible investments to expand its production capacity and spend maintenance expenditure to achieve better performance of the productivity. The objective of the firm is to construct optimal investment and maintenance policies to maximize its expected total profit over a finite horizon. Mathematically, it is a singular stochastic control problem whose value function satisfies a parabolic variational inequality with gradient constraint. The problem gives rise to two free boundaries which stand for the optimal investment and maintenance strategies, respectively. We investigate behaviors of free boundaries, study regularities of the value function, and give optimal investment and maintenance policies. As we know, this is a first integral result for an investment–maintenance problem with a finite time horizon due to use of partial differential equation (PDE) technique.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Analysis and Applications - Volume 440, Issue 2, 15 August 2016, Pages 597–623
نویسندگان
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