2010 Volume 3 Issue 1 Pages 1-23
A maintenance of a facility is performed in order to obtain returns form it by maintaining reliability. Because of properties of facilities and of economical conditions, the policy of the maintenance has to be chosen and evaluated dynamically. Therefore the dynamic evaluation method is required. In this article we establish the maintenance policy problem as a Markov type stochastic control problem, and we try to apply the risk sensitive value measure (= entropic value measure) method and the real option approach to this problem. In the process to solve the problem, the options which are contained in the maintenance policy are understood to be controls, and we have constructed a model such that the structure of the facility is Markov type, the evaluation method is the risk sensitive value measure method and the .exibility is treated as the controllability (= options). We study the performance of our model by the use of the simulation method, and we could have shown the e.ciency of our model.
