Optimal exit from a deteriorating project with noisy returns

Probability in the Engineering and Informational Sciences

Volumn 19, Issue 3, 2005, Pages 327-343

  Ryan, Reade ^a   Lippman, Steven A ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

DIFFERENTIAL EQUATIONS;

BROWNIAN MOTION WITH DRIFT; COMPARATIVE STATICS; POSTERIOR PROBABILITY; STOCHASTIC DIFFERENTIAL EQUATIONS;

STOCHASTIC SYSTEMS;

EID: 21644464917     PISSN: 02699648     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0269964805050187     Document Type: Article

References (15)

1. Abramowitz, M. & Stegun, I.A. (1972). Handbook of mathematical functions. Washington DC: US Government Printing Office.
2. Deuschel, J.D. & Stroock, D.W. (1989). Large deviations. Boston: Academic Press.
3. Jensen, M. (1993). The modern industrial revolution, exit, and the failure of internal control systems. Journal of Finance 48: 831-880.
4. Mansfield, E. (1968). The economics of technological change. New York: W.W. Norton.
5. Massey, C. & Wu, G. (2001). Detecting regime shifts: The causes of over- and underreaction. Working paper, Graduate School of Business, University of Chicago, Chicago, IL; to appear in Management Science.
6. Miles, F.C. (1949). Motive power ordered in 1948. Railway Age 212.
7. Oksendal, B. (1998). Stochastic differential equations: An introduction with applications, 5th ed. Berlin: Springer-Verlag.
8. Postrel, S.R. (1990). Competing networks and proprietary standards: The case of quadraphonic sound. Journal of Industrial Economics 39: 169-185.
9. Rosenberg, N. (1972). Factors affecting the diffusion of technology. Explorations in Economic History 9: 3-33.
10. Rosenberg, N. (1976). On technological expectations. The Economic Journal 86: 523-535.
11. Rosenberg, N. (1982). Inside the black box: Technology and economics. Cambridge: Cambridge University Press.
12. Ryan, R. & Lippman, S.A. (2003). Optimal exit from a project with noisy returns. Probability in the Engineering and Information Sciences 17: 435-458.
13. Schumpeter, J.A. (1950). Capitalism, socialism, and democracy, 3rd ed. New York: Harper & Row.
14. Starkey, D.J. (1993). Industrial background to the development of the steamship. In R. Gardiner (ed.), The advent of steam: The merchant steamship before 1900. Annapolis, MD: Naval Institute Press.
15. Staw, B.M. & Ross, J. (1987). Knowing when to pull the plug. Harvard Business Review 65(2): 68-74.