not rely on the “smooth-pasting condition.” An application to MacDonald and Siegel’s canonical investment problem (1986 …) shows that the standard investment threshold over-estimates the optimal threshold when the lower barrier is absorbing and …

In this paper, we provide a dynamic general equilibrium framework with an explicit investment-financing constraint. The …

mathematical tools which appears useful in exploring the economic implications of local interactions is the theory of interacting … particle systems. Unfortunately, the extant theory mainly addresses the long-time behavior of infinite systems, and focuses on …

The role that Bernanke’s Bad News Principle plays in the modern theory of investment under uncertainty is analyzed. The … analysis shows that the actual investment dilemma is that by delaying investment firms trade off a higher present value of … earnings for a lower present value of the investment cost, in contrast to previous interpretations of this dilemma. The …

streams that are functions of Levy processes. As applications, we calculate the option values of multi-stage investment … factor increases slower than in the standard geometric Levy models, and demonstrate that then the investment threshold is …

the standard problems in the real options theory is given in the binomial and trinomial models, and more generally, when …