In this paper, we present a probabilistic numerical algorithm combining dynamic programming, Monte Carlo simulations and local basis regressions to solve non-stationary optimal multiple switching problems in infinite horizon. We provide the rate of convergence of the method in terms of the time...

The deployment of smart grids in electricity systems has given rise to much interdisciplinary research. The new technology is seen as an additional instrument available to States to achieve targets for promoting competition, increasing the safety of electricity systems and combating climate...

In this paper, we question whether there is a catch-up effect or announcement effecting Foreign Direct Investment (FDI) from the European Union (EU) to the ten EU accession countries. We study FDI outflows for Romania, a small economy with few historical ties to Eastern Europe, and compare FDI...

This paper brings into focus a link between the investment and financing decisions of a firm which has an access to costly debt financing. Our analysis shows that lump-sum debt issuance costs play a prominent role in a determination of the optimal investment strategy. Faced with larger lump-sum...

This article addresses the following question: How to deal with uncertainty, emergence of new information and irreversibility in the decision process of the long-term disposal of radioactive waste? Intuitively, one might think that measures taken today are more relevant when they are ‡exible....

In a real option model, we show that the standard analysis of vertical relationships transposes directly to investment timing. Thus, when a firm undertaking a project requires an outside supplier (e.g., an equipment manufacturer) to provide it with a discrete input to serve a growing but...