Investment Timing Under Incomplete Information

DOI10.1287/moor.1040.0132zbMath1082.91048MaRDI QIDQ5704233

Stéphane Villeneuve, Thomas Mariotti, Jean-Paul Décamps

Publication date: 11 November 2005

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

Full work available at URL: http://eprints.lse.ac.uk/19325/

zbMATH Keywords

optimal stopping; filtering; free boundary; investment under uncertainty

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H30: Applications of stochastic analysis (to PDEs, etc.)

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