The optimal stopping problem revisited

DOI10.1007/S00362-019-01088-WMaRDI QIDQ2066489zbMATH OpenOpenAlexWikidataFDO

Authors Yanyan Li

Publication date 14 January 2022

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-019-01088-w

zbMATH Keywords

exit optioninvestment optionoptimal stoppingreplacement option

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

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Cited in

(31)

• A note on pasting conditions for the American perpetual optimal stopping problem
• An optimal stopping time problem with time average cost in a bounded interval
• A verification theorem for optimal stopping problems with expectation constraints
• Analysis of an optimal stopping problem arising from hedge fund investing
• Optimal stopping of a killed exponentially growing process
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• Optimal stopping in a shock model
• The Optimal Stopping Problem for the Kalman–Bucy Scheme
• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• Optimal Two-Choice Stopping on an Exponential Sequence
• Optimal stopping via measure transformation: the Beibel–Lerche approach
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• Dokładna i asymptotyczna analiza rozwiązań optymalnych problemów zatrzymania Brussa i Webera
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