Investment Lags: A Numerical Approach

Al-Foraih, Mishari and Johnson, Paul and Duck, Peter (2014) Investment Lags: A Numerical Approach. In: 3rd International Conference on Operations Research and Enterprise Systems, 6-8 March 2014, Angers, France.

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In this paper we use a mixture of numerical methods including finite difference and body fitted co-ordinates to form a robust stable numerical scheme to solve the investment lag model presented in the paper by Bar-Ilan and Strange (1996). This allows us to apply our methodology to models with different stochastic processes that does not have analytic solutions.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: Real Option; Stochastic Models; Time-Varying demand; Investment lag
Subjects: MSC 2010, the AMS's Mathematics Subject Classification > 35 Partial differential equations
MSC 2010, the AMS's Mathematics Subject Classification > 49 Calculus of variations and optimal control; optimization
Depositing User: Mr Mishari Al-Foraih
Date Deposited: 11 Jun 2014
Last Modified: 20 Oct 2017 14:13

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