A model for investment decisions with switching costs

We address the problem of determining in an optimal way the sequence of tim es at which a firm can enter or exit an economic activity. In particular, w e consider an investment model which involves production scheduling as well as a sequence of entry and exit decisions. The pricing of an investment co nforming with this model gives rise to a stochastic impulse control problem that we explicitly solve. Our solution takes qualitatively different forms , depending on the problem's data.