Time-to-build and capacity choice

Journal of Economic Dynamics and Control

Volumn 26, Issue 1, 2002, Pages 69-98

  Bar Ilan, Avner ^a   Sulem, Agnès ^b   Zanello, Alessandro ^c  

^a UNIVERSITY OF HAIFA   (Israel)

^b INRIA ROCQUENCOURT   (France)

^c INTERNATIONAL MONETARY FUND   (United States)

Author keywords

Capacity; Impulse control; Irreversible investment

Indexed keywords

EID: 10344254887     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(00)00018-X     Document Type: Article

References (28)

1. Abel, A.B., 1983. Optimal investment under uncertainty. American Economic Review 73, 228-233.
2. Bar-Ilan, A., 1990a. Trigger-target rules need not be optimal with fixed adjustment costs: a simple comment on optimal money holding under uncertainty. International Economic Review 31, 229-234.
3. Bar-Ilan, A., 1990b. Overdrafts and the demand for money. American Economic Review 80, 1201-1216.
4. Bar-Ilan, A., Strange, W., 1996. Investment lags, American Economic Review 86, 610-622.
5. Bar-Ilan, A., Sulem, A., 1995. Explicit solution of inventory problems with delivery lags. Mathematics of Operations Research 20, 709-720.
6. Baughman, M.L., Joskow, P.L., Kamat, D.P., 1979. Electric Power in the United States: Models and Policy Analysis. MIT Press, Cambridge, MA.
7. Bensoussan, A., Lions, J.L., 1982. Contrôle impulsionnel et inéquations quasi-variationnelles. Dunod, Paris.
8. Caballero, R., 1991. On the sign of the investment-uncertainty relationship. American Economic Review 81, 279-288.
9. Constantinides, G., Richard, S., 1978. Existence of optimal simple policies for discounted cost inventory and cash management in continuous time. Operation Research 26, 620-636.
10. Cox, D.R., Miller, H.D., 1965. The Theory of Stochastic Processes. Chapman & Hall, London.
11. Dixit, A.K., 1989. Entry and exit decisions under uncertainty. Journal of Political Economy 97, 620-638.
12. Dixit, A.K., 1992. Investment and hysteresis. Journal of Economic Perspectives 6, 107-132.
13. Dixit, A.K., Pindyck, R.S., 1994. Investment under Uncertainty. Princeton University Press, Princeton, NJ.
14. Harrison, M.J., 1985. Brownian Motion and Stochastic Flow Systems. Wiley, New York.
15. Hartman, R., 1972. The effects of price and cost uncertainty on investment. Journal of Economic Theory 5, 258-266.
16. Hubbard, R.G., 1994. Investment under uncertainty: keeping one's options open. Journal of Economic Literature 32, 1816-1831.
17. Joskow, P.L., Schmalensee, R., 1983. Markets for Power: An Analysis of Electric Utility Deregulation. MIT Press, Cambridge, MA.
18. Lions, P.L., 1983. Optimal control of diffusion processes and Hamilton-Jacobi-Bellman equations. Part II: viscosity solutions and uniqueness. Communications in Partial Differential Equations 8, 1229-1276.
19. MacRae, K.M., 1989, Critical Issues in Electric Power Planning in the 1990s: Volume I. Canadian Energy Research Institute, Calgary.
20. Majd, S., Pindyck, R.S., 1987. Time to build, option value, and investment decisions. Journal of Financial Economics 18, 7-27.
21. Manne, A.S., 1961. Capacity expansion and probabilistic growth. Econometrica 29, 632-649.
22. Perthame, B., 1985. On the regularity of the solutions of quasi-variational inequalities. Journal of Functional Analysis 64, 190-208.
23. Pindyck, R.S., 1991. Irreversibility, uncertainty, and investment. Journal of Economic Literature 29, 1110-1148.
24. Robin, M., 1983. Long term average cost problems for continuous time Markov processes: A survey. Acta Applicandae Mathematicae 1, 281-299.
25. Scarf, H., 1960. The optimality of (S, s) policies in the dynamic inventory model. In: Arrow, K.J., Karlin, S., Suppes, P. (Eds.), Mathematical Methods in the Social Sciences. Stanford University Press, Stanford, CA.
26. Shepp, L.A., 1979. The joint density of the maximum and its location for a Wiener process with drift. Journal of Applied Probability 16, 423-427.
27. Sulem, A., 1986. A solvable one-dimensional model of a diffusion inventory system. Mathematics of Operations Research 11, 125-133.
28. Sulem, A., 1993. Quasi-variational inequalities and impulse control. In: Sheshinski, E., Weiss, Y. (Eds.), Optimal Pricing, Inflation, and Cost of Price Adjustment. MIT Press, Cambridge, MA.