Aronsson, Thomas; Löfgren, Karl-Gustaf; Nyström, Kaj - Institutionen för Nationalekonomi, Umeå Universitet - 2003
In this paper, we introduce cost benefit rules for projects embedded in a stochastic optimal growth framework. We model uncertainty in terms of Brownian motion and Ito integrals. Taking the mathematical expectation of the project means that the Ito integrals vanish, and we end up with a cost...