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 (8)

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

Cites Work

• The impact of investment lags on investment decision
• Reward functionals, salvage values, and optimal stopping
• A harmonic function technique for the optimal stopping of diffusions
• Optimal stopping via measure transformation: the Beibel–Lerche approach
• Optimal Stopping of One-Dimensional Diffusions
• Entry and Exit Decision Problem with Implementation Delay
• OPTIMAL STOPPING WITH DELAYED INFORMATION
• The impact of delivery lags on irreversible investment under uncertainty
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