Optimal stopping with random exercise lag

DOI10.1007/s00186-012-0384-7zbMath1266.60076OpenAlexW1997826741MaRDI QIDQ1935933

Jukka Lempa

Publication date: 20 February 2013

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-012-0384-7

zbMATH Keywords

diffusionoptimal stoppingresolvent operatorreal optionsimplementation delaystrong Markov processtime to build\(\varepsilon\)-Optimal stopping times

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items

A general approximation method for optimal stopping and random delay, On the problems of sequential statistical inference for Wiener processes with delayed observations, Ergodic control of diffusions with random intervention times, Irreversible investment with random delay and partial prepayment, Some results on optimal stopping under phase-type distributed implementation delay, Resolvent-techniques for multiple exercise problems, A Class of Recursive Optimal Stopping Problems with Applications to Stock Trading, Approaches to multistage one-shot decision making

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