investment-under-uncertainty
In this repository you can find programs (in MATLAB) to replicate the results showing in the book: Dixit, A. K., Dixit, R. K., & Pindyck, R. S. (1994). Investment under uncertainty. Princeton university press. These programs can be used to evaluated capital investment decisions taking account of the irreversibility and uncertainty of economic environment. The optimization problem is developed in continuous time (Hamilton-Jacobi-Bellman equation) and the uncertainty is modeled with a Brownian motion process.
