Optimal stopping with information constraint
DOI10.1007/S00245-012-9166-0zbMATH Open1269.93134OpenAlexW1986374674MaRDI QIDQ2391931FDOQ2391931
Authors: 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
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Poisson processgeometric Brownian motionoptimal stoppingresolvent operatorlinear diffusionirreversible investmentmaximization problemBellman principle of optimalityexercise payoffexogenous information constraintMarkovian apparatus
Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)
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- The shape of the value function under Poisson optimal stopping
- An explicit solution for an optimal stopping/optimal control problem which models an asset sale
- Resolvent-techniques for multiple exercise problems
- Dynkin games with Poisson random intervention times
- Decision model on optimal stopping of business opportunity digging under imperfect information
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- On some impulse control problems with constraint
- On some optimal stopping problems with constraint
- Optimal switching at Poisson random intervention times
- Constrained optimal stopping, liquidity and effort
- Ergodic control of diffusions with random intervention times
- The value of information in stopping problems
- A class of solvable multiple entry problems with forced exits
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- Timing in the presence of directional predictability: optimal stopping of skew Brownian motion
- Randomised rules for stopping problems
- Solutions for Poissonian stopping problems of linear diffusions via extremal processes
- Some results on optimal stopping under phase-type distributed implementation delay
- A zero-sum Poisson stopping game with asymmetric signal rates
- Callable convertible bonds under liquidity constraints and hybrid priorities
- On the forward algorithm for stopping problems on continuous-time Markov chains
- Bounded variation control of Itô diffusions with exogenously restricted intervention times
- OPTIMAL STOPPING WITH DELAYED INFORMATION
- A note on asymptotics between singular and constrained control problems of one-dimensional diffusions
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