This paper develops a model for optimal capital investment in continuous time when both existing and new capital stocks are subject to uncertainty. The model is generalized to allow for large and infrequent changes in the dynamics of the capital stock, which may arise as a result of natural and man-made disasters.
|Publication status||Published - 2008 Feb 12|
All Science Journal Classification (ASJC) codes
- Economics, Econometrics and Finance(all)