An Irreversible Investment Problem with Maintenance Expenditure
An Irreversible Investment Problem with Maintenance Expenditure
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DOI：
10.1137/100799484
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发表时间：
2012-05
期刊：
影响因子：
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通讯作者：
Kazuhito Kawaguchi;H. Morimoto
中科院分区：
文献类型：
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作者：
Kazuhito Kawaguchi;H. Morimoto
本文研究了不确定条件下企业维护支出的最优投资问题。我们假设投资是不可逆转的，并且公司的维护成本对其随机增长的资本生产率有积极的影响。公司的目标是构建最佳的投资和维护政策，以在无限的时间范围内最大化其预期总现金流。我们采用惩罚方法来获得与优化问题相关的变分不等式的解。投资维持问题的障碍类型最优解是存在的。
This paper studies the optimal investment problem with maintenance expenditure of a firm under uncertainty. We assume that the investment is irreversible and the maintenance cost of the firm has positive effects on its stochastically growing capital productivity. The objective of the firm is to construct optimal investing and maintenance policies to maximize its expected total cash flow over the infinite time horizon. We adopt the penalty method to obtain a solution of the variational inequality associated with the optimization problem. The optimal solution of barrier type for the investment-maintenance problem is shown to exist.