OPTIMAL STOPPING WITH DELAYED INFORMATION

DOI10.1142/S0219493705001419MaRDI QIDQ5694410zbMATH OpenOpenAlexFDO

Authors B. Øksendal

Publication date 30 September 2005

Published in Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219493705001419

zbMATH Keywords

delayed information flowoptimal time to selloptimal time to stop resource extractionstrong Markov processes

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Continuous-time Markov processes on general state spaces (60J25) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76)

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Cites work

• Explicit Solution of Inventory Problems with Delivery Lags
• scientific article; zbMATH DE number 3607222 (Why is no real title available?)
• scientific article; zbMATH DE number 3272022 (Why is no real title available?)
• Stochastic differential equations. An introduction with applications.
• The impact of delivery lags on irreversible investment under uncertainty

Cited in

(25)

• Optimal stochastic impulse control with delayed reaction
• Costly sequential experimentation and project valuation with an application to health technology assessment
• The value of foresight
• Optimal stopping with random exercise lag
• Credit risk and asymmetric information: a simplified approach
• Analysis of the optimal exercise boundary of American put options with delivery lags
• Irreversible investment with random delay and partial prepayment
• The impact of operational delay on irreversible investment under Knightian uncertainty
• On the problems of sequential statistical inference for Wiener processes with delayed observations
• Flexibility premium of emissions permits
• Optimal stopping with information constraint
• An optimal stopping problem in a diffusion-type model with delay
• Discrete approximations of controlled stochastic systems with memory: a survey
• Viscosity solution of optimal stopping problem for stochastic systems with bounded memory
• Optimal stopping with advanced information flow: selected examples
• Optimal stopping times with different information levels and with time uncertainty
• Optimal stopping, randomized stopping, and singular control with general information flow
• Entry-exit decisions with underlying processes following geometric Lévy processes
• Entry and Exit Decision Problem with Implementation Delay
• A class of recursive optimal stopping problems with applications to stock trading
• A general approximation method for optimal stopping and random delay
• The value of information in stopping problems
• A sequential stopping problem with costly reversibility
• Optimal insurance design for business interruption insurance with cancellation feature
• Some results on optimal stopping under phase-type distributed implementation delay

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