• Green investment under policy uncertainty and Bayesian learning 

      Dalby, Peder A.O.; Gillerhaugen, Gisle R.; Hagspiel, Verena; Leth-Olsen, Tord; Thijssen, Jacco J.J. (Journal article; Peer reviewed, 2018)
      Many countries have introduced support schemes to accelerate investments in renewable energy (RE). Experience shows that, over time, retraction or revision of support schemes become more likely. Investors in RE are greatly ...
    • Investment Decisions with Two-Factor Uncertainty 

      Compernolle, Tine; Huisman, Kuno J.M.; Kort, Peter M.; Lavrutich, Maria; Nunes, Cláudia; Thijssen, Jacco J.J. (Peer reviewed; Journal article, 2021)
      This paper considers investment problems in real options with non-homogeneous two-factor uncertainty. We derive some analytical properties of the resulting optimal stopping problem and present a finite difference algorithm ...
    • Kalman filter approach to real options with active learning 

      Sund, Sebastian; Sendstad, Lars Hegnes; Thijssen, Jacco J.J. (Peer reviewed; Journal article, 2022)
      Technological innovations often create new markets and this gives incentives to learn about their associated profitabilities. However, this decision depends not only on the underlying uncertain profitability, but also on ...
    • Optimal double stopping problems for maxima and minima of geometric Brownian motions 

      Gapeev, Pavel; Kort, P.M.; Lavrutich, Maria; Thijssen, Jacco J.J. (Journal article; Peer reviewed, 2022)