Optimal stopping with random exercise lag

DOI10.1007/s00186-012-0384-7zbMath1266.60076MaRDI 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

diffusion; optimal stopping; resolvent operator; real options; implementation delay; strong Markov process; time to build; \(\varepsilon\)-Optimal stopping times

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

60J60: Diffusion processes

Related Items

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

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