IT Project Investment Decision Analysis under Uncertainty

When to implement IT investment is important, the revenue and cost of IT investment are flustering with great uncertainty, so defining rational their variation is the base for assessing the value and occasion of IT investment. The IT investment cost is described by geometrical Brownian motion, and the income is described by geometrical Brownian motion with jump. The theory of real option is applied considering value of wait. With Dynamic Programming, the IT investment decision model is based on that the investment and its income are stochastic. The best investment time and option value are defined by solution of the decision making model and it will help making correct decision of enterprises.