Optimal stopping with information constraint
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Publication:2391931
DOI10.1007/s00245-012-9166-0zbMath1269.93134OpenAlexW1986374674MaRDI QIDQ2391931
Publication date: 5 August 2013
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10852/41919
optimal stoppingresolvent operatorPoisson processBellman principle of optimalitygeometric Brownian motionlinear diffusionirreversible investmentmaximization problemexercise payoffexogenous information constraintMarkovian apparatus
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)
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