Optimal stopping with information constraint

DOI10.1007/s00245-012-9166-0zbMath1269.93134MaRDI QIDQ2391931

Jukka Lempa

Publication date: 5 August 2013

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/41919

zbMATH Keywords

optimal stopping; resolvent operator; Poisson process; Bellman principle of optimality; geometric Brownian motion; linear diffusion; irreversible investment; maximization problem; exercise payoff; exogenous information constraint; Markovian apparatus

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

91G10: Portfolio theory

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Ergodic control of diffusions with random intervention times, On the forward algorithm for stopping problems on continuous-time Markov chains, Randomised rules for stopping problems, Dynkin Games with Poisson Random Intervention Times, Stochastic Control Representations for Penalized Backward Stochastic Differential Equations, On Some Impulse Control Problems with Constraint, Bounded Variation Control of Itô Diffusions with Exogenously Restricted Intervention Times, Optimal switching at Poisson random intervention times, Some results on optimal stopping under phase-type distributed implementation delay, The shape of the value function under Poisson optimal stopping, A note on asymptotics between singular and constrained control problems of one-dimensional diffusions, Constrained optimal stopping, liquidity and effort, Resolvent-techniques for multiple exercise problems, A class of solvable multiple entry problems with forced exits, A zero-sum Poisson stopping game with asymmetric signal rates, On Some Optimal Stopping Problems with Constraint

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