不确定环境下的最优进入决策(英文)

Optimal Entry Decisions under Uncertainty

在商品价格服从几何布朗运动的假设下,利用最优停止理论分析了项目的进入和退出的决策问题.公司不能随便地选择退出时间,也就是说,公司一旦进入该项目,它必须在T个单位时间后退出该项目.因此只需确定最优进入时间即可.得到了最优进入时间的精确表达式,同时,也得到了项目价值的精确表达式.

Entry-exit decisions of a project are analyzed from the perspective of the optimal stopping theory under the assumption that the price process of a commodity follows a geometric Brownian process. Here the firm cannot freely choose the exit time. That is, once the firm enters the project, it must exit the project after T units of time. Thus only the optimal entry time needs to be determined. An explicit expression of the optimal entry time is obtained. Meanwhile an explicit evaluation formula for the project is also obtained.