收益流不连续时项目最佳投资时机分析  

Project investment timing analysis when the return flow is discontinuous

作　　者：范玉莲[1] 王广富[2] 

机构地区：[1]北方工业大学理学院,北京100041 [2]中国神华能源股份有限公司,北京100011

出　　处：《系统工程学报》2007年第6期573-576,592,共5页Journal of Systems Engineering

摘　　要：讨论了当项目收益流为不连续随机过程时,投资时机的选择问题.把投资机会看作一种实物期权,并用B rown运动和Poisson跳过程分别刻画收益流受到的连续性随机扰动和随机冲击(引起收益流不连续的随机事件),证明在此情况下可利用收益流当前值的临界值作为投资时机选择的依据.进而,用带跳反射倒向随机微分方程方法解出这一临界值.This paper analyses the choice of the investment timing when the project return flow is discontinuous stochastic process. It treats the investment opportunity as an option and uses Brownian motion and Poisson jump process respectively to describe the continuous stochastic interference and the stochastic impact（ the stochastic events causing the discontinuity of the return flow）, and proves that a critical present value of the return flow could be the accordance of the choice of the investment timing. Then the critical value is obtained by the reflected backward stochastic differential equation method.

关 键 词：带跳随机过程 投资时机 带跳反射倒向随机微分方程 

分 类 号：F830.59[经济管理—金融学]