TY  - JOUR
AU  - Dumas,Bernard
TI  - Super Contact and Related Optimality Conditions: A Supplement to AvinashDixits:"A Simplified Exposition of Some Results Concerning Regulated Brownian.
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 77
PY  - 1989
Y2  - April 1989
UR  - http://www.nber.org/papers/t0077
L1  - http://www.nber.org/papers/t0077.pdf
N1  - Author contact info:
Bernard Dumas
INSEAD
boulevard de Constance
77305 Fontainebleau Cedex
FRANCE
Tel: +33 1 60 72 43 73
Fax:  +33 1 60 72 40 50
E-Mail: bernard.dumas@insead.edu
AB  - Dixit (1988) observed that the mathematical construct of "regulated Brownian motion" developed by Harrison (1985) had proved useful in economic models of decision-making under uncertainty. In a recent note he provided a number of methods for calculating expected discounted payoff functions based on such processes. The purpose of this supplement is twofold: -determine to what extent the first-degree conditions reached by Dixit (his equations (12) and (13) or (12') and (13')) are simply a consequence of the definition of the expected discounted payoff, or to what extent they can be interpreted as first order conditions of some optimization problem, as has been suggested in Dumas(1988); -extend Dixit's treatment to the case where there are fixed costs of regulation as 1n Grossman-Laroque (1987).
ER  -