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Author: Avinash Dixit
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This paper analyses optimal irreversible investment policy when profits are subject to a multiplicative geometric Brownian motion shock. The marginal product of capital is increasing initially and decreasing thereafter. ...Read more...
Many recent stochastic dynamic models in economics and finance are based on the theory of Brownian motion and its control or regulation. A heuristic exposition of this theory is presented with emphasis given to Itô's Lem...Read more...