A class of solvable multiple entry problems with forced exits

DOI10.1007/s00245-017-9449-6zbMath1417.49004arXiv1610.02877OpenAlexW2963945399MaRDI QIDQ2422352

Jukka Lempa

Publication date: 19 June 2019

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

Full work available at URL: https://arxiv.org/abs/1610.02877

zbMATH Keywords

optimal investment problem

Mathematics Subject Classification ID

Existence theories for optimal control problems involving relations other than differential equations (49J21)

Related Items (1)

Constrained optimal stopping, liquidity and effort

Cites Work

• Unnamed Item
• Unnamed Item
• A survey and some generalizations of Bessel processes
• Optimal stopping with information constraint
• A Problem of Sequential Entry and Exit Decisions Combined with Discretionary Stopping
• An investment model with entry and exit decisions
• ON PROPERTIES OF ANALYTICALLY SOLVABLE FAMILIES OF LOCAL VOLATILITY DIFFUSION MODELS
• Sequential entry and exit decisions with an ergodic performance criterion
• Markov Processes, Brownian Motion, and Time Symmetry
• A Sequential Entry Problem with Forced Exits

This page was built for publication: A class of solvable multiple entry problems with forced exits