search query: @author Zariphopoulou, T. / total: 2
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| Author: | Scheinkman, J. A. Zariphopoulou, T. |
| Title: | Optimal environmental management in the presence of irreversibilities |
| Journal: | Journal of Economic Theory
2001 : JAN-FEB, VOL. 96:1/2, p. 180-207 |
| Index terms: | ENVIRONMENT MANAGEMENT MODELS UTILITY FUNCTIONS OPTIMIZATION |
| Language: | eng |
| Abstract: | The authors consider an environment of a fixed sized that can be converted to another use. This conversion can be made in steps, but it is irreversible. The future benefits (per unit) from the original use, and from the alternative use, follow a diffusion process. For a fairly general case, the authors show that the value function must be the unique (viscosity) solution to the associated Hamilton-Jacobi-Bellman equation. The authors also exhibit several properties of the solution for the case of constant relative risk aversion between 0 and 1, and a log-linear diffusion for the benefits. |
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