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Title: Models for investment capacity expansion
Author: Al-Motairi, Hessah
ISNI:       0000 0004 2714 2762
Awarding Body: London School of Economics and Political Science (LSE)
Current Institution: London School of Economics and Political Science (University of London)
Date of Award: 2011
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The objective of this thesis is to develop and analyse two stochastic control problems arising in the context of investment capacity expansion. In both problems the underlying market fluctuations are modelled by a geometric Brownian motion. The decision maker’s aim is to determine admissible capacity expansion strategies that maximise appropriate expected present-value performance criteria. In the first model, capacity expansion has price/demand impact and involves proportional costs. The resulting optimisation problem takes the form of a singular stochastic control problem. In the second model, capacity expansion has no impact on price/demand but is associated with fixed as well as proportional costs, thus resulting in an impulse control problem. Both problems are completely solved and the optimal strategies are fully characterised. In particular, the value functions are constructed explicitly as suitable classical solutions to the associated Hamilton-Jacobi-Bellman equations
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: HG Finance ; QA Mathematics