Optimal stopping with random exercise lag

DOI10.1007/S00186-012-0384-7MaRDI QIDQ1935933zbMATH OpenOpenAlexFDO

Authors 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

\(\varepsilon\)-Optimal stopping timesdiffusionimplementation delayoptimal stoppingreal optionsresolvent operatorstrong Markov processtime to build

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

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Cites work

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

Cited in

(14)

• Analysis of the optimal exercise boundary of American put options with delivery lags
• 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
• OPTIMAL STOPPING FOR THE LAST EXIT TIME
• Ergodic control of diffusions with random intervention times
• OPTIMAL STOPPING WITH DELAYED INFORMATION
• A class of recursive optimal stopping problems with applications to stock trading
• A general approximation method for optimal stopping and random delay
• Optimal stopping of stochastic differential equations with delay driven by Lévy noise
• Optimal stopping problem in a model with compensated refusal of reward
• A sequential stopping problem with costly reversibility
• Some results on optimal stopping under phase-type distributed implementation delay

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