An explicit solution for an optimal stopping/optimal control problem which models an asset sale
From MaRDI portal
Publication:957514
DOI10.1214/07-AAP511zbMath1165.60021arXiv0806.4061MaRDI QIDQ957514
Vicky Henderson, David G. Hobson
Publication date: 27 November 2008
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0806.4061
93E20: Optimal stochastic control
60G40: Stopping times; optimal stopping problems; gambling theory
60G44: Martingales with continuous parameter
91A60: Probabilistic games; gambling
Related Items
Optimal selling of an asset under incomplete information, OPTIMAL TIMING FOR AN INDIVISIBLE ASSET SALE
Cites Work
- Unnamed Item
- Unnamed Item
- Valuing the option to invest in an incomplete market
- Optimal stopping and best constants for Doob-like inequalities. I: The case \(p=1\)
- Control and stopping of a diffusion process on an interval
- Hedging American contingent claims with constrained portfolios
- A leavable bounded-velocity stochastic control problem.
- OPTIMAL TIMING FOR AN INDIVISIBLE ASSET SALE
- Utility Maximization with Discretionary Stopping