Optimal exit strategies for investment projects
DOI10.1016/j.jmaa.2014.12.029zbMath1305.91237OpenAlexW3123908417MaRDI QIDQ2512665
Etienne Chevalier, Vathana Ly Vath, Alexandre F. Roch, Simone Scotti
Publication date: 30 January 2015
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2014.12.029
stochastic controlreal optionsviscosity solutionssystem of variational inequalitiesliquidity discountregime shifting
Applications of optimal control and differential games (49N90) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Corporate finance (dividends, real options, etc.) (91G50)
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Cites Work
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