404 research outputs found
Buridan's Ass and a Menu of Options.
The goal of the paper is to study how a menu of options affects decisions of a rational agent facing uncertainty over future payoff streams. Using the real options approach, we demonstrate that multiple options not only increase the barrier which the underlying stochastic variable has to reach in order investment became optimal, but cause the investor to be inactive even when the cost of investment is vanishing. As a technical contribution, the paper suggests a robust method of solution of a two-point optimal stopping problem.Real options, procrastination, choice between two projects
Distribution of the first particle in discrete orthogonal polynomial ensembles
We show that the distribution function of the first particle in a discrete
orthogonal polynomial ensemble can be obtained through a certain recurrence
procedure, if the (difference or q-) log-derivative of the weight function is
rational. In a number of classical special cases the recurrence procedure is
equivalent to the difference and q-Painleve equations of chao-dyn/9507010,
[Sakai].
Our approach is based on the formalism of discrete integrable operators and
discrete Riemann--Hilbert problems developed in math.CO/9912093,
math-ph/0111008.Comment: 41 page
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