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A. M. Reppen

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Preprint Sep 2026

Finite-Horizon Reversible Investment under Multi-Factor Dynamics

We study a finite-horizon reversible investment problem in which a risk-neutral firm adjusts capacity at a proportional purchase cost and a lower salvage value under multi-factor geometric Brownian motion. Via the singular control--optimal switching correspondence, the marginal value of capacity solves a family of para...

Junkee Jeon, Takwon Kim, Jinwan Park et al. · 0 citations

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