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Optimal switching in an economic activity under uncertainty
This paper considers the problem of finding the optimal sequence of opening (starting) and closing (stopping) times of a multi-activity production process, given the costs of opening, running, and closing the activities and assuming that the state of the economic system is a stochastic process. The...
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| Published in: | SIAM journal on control and optimization 1994-07, Vol.32 (4), p.1021-1036 |
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| Main Authors: | , |
| Format: | Article |
| Language: | English |
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| cited_by | cdi_FETCH-LOGICAL-c456t-279c9d4968655e5159339a6700601afe0f0115b6d8934be787cd8a0998968d433 |
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| cites | cdi_FETCH-LOGICAL-c456t-279c9d4968655e5159339a6700601afe0f0115b6d8934be787cd8a0998968d433 |
| container_end_page | 1036 |
| container_issue | 4 |
| container_start_page | 1021 |
| container_title | SIAM journal on control and optimization |
| container_volume | 32 |
| creator | BREKKE, K. A ØKSENDAL, B |
| description | This paper considers the problem of finding the optimal sequence of opening (starting) and closing (stopping) times of a multi-activity production process, given the costs of opening, running, and closing the activities and assuming that the state of the economic system is a stochastic process. The problem is formulated as an extended impulse control problem and solved using stochastic calculus. As an application, the optimal starting and stopping strategy are explicitly found for a resource extraction when the price of the resource is following a geometric Brownian motion. |
| doi_str_mv | 10.1137/s0363012992229835 |
| format | article |
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| fulltext | fulltext |
| identifier | ISSN: 0363-0129 |
| ispartof | SIAM journal on control and optimization, 1994-07, Vol.32 (4), p.1021-1036 |
| issn | 0363-0129 1095-7138 |
| language | eng |
| recordid | cdi_proquest_journals_925853938 |
| source | SIAM Journals Archive; ABI/INFORM Collection |
| subjects | Applied mathematics Applied sciences Costs Economic activity Exact sciences and technology Expected values Miscellaneous Operational research and scientific management Operational research. Management science Prices Profits Stochastic models Values |
| title | Optimal switching in an economic activity under uncertainty |
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